Authors: Ponyatovskyy, Vladyslav
Weißbach, Rafael
Zimmermann, Guido
Title: The yield of ten year T-bonds: stumbling towards a ‘good’ forecast
Language (ISO): en
Abstract: Due to their status as “the” benchmark yield for the world’s largest government bond market and its importance for US monetary policy, the interest in a “good” forecast of the constant maturity yield of the 10-year U.S. Treasury bond (“T-bond yields”) is immense. This paper assesses three univariate time series models for forecasting the yield of T-bonds: It shows that a simple SETAR model proves to be superior to the random walk and an ARMA model. However, dividing the sample of bond yields, dating from 1962 to 2005, into a training sample and a test sample reveals the forecast to be biased. A new bias-corrected version is developed and forecasts for March 2005 to February 2006 are presented. In addition to point estimates forecast limits are also given. JEL subject classifications: E47, C52
Subject Headings: 10-year yield
Bias-correction
Non-linear time series
TAR model
T-bond
Times series
URI: http://hdl.handle.net/2003/23299
http://dx.doi.org/10.17877/DE290R-8234
Issue Date: 2007-02-21T14:43:16Z
Appears in Collections:Sonderforschungsbereich (SFB) 475

Files in This Item:
File Description SizeFormat 
tr50-06.pdfDNB182.86 kBAdobe PDFView/Open


This item is protected by original copyright



All resources in the repository are protected by copyright.