The yield of ten year T-bonds: stumbling towards a ‘good’ forecast
| dc.contributor.author | Ponyatovskyy, Vladyslav | |
| dc.contributor.author | Weißbach, Rafael | |
| dc.contributor.author | Zimmermann, Guido | |
| dc.date.accessioned | 2007-02-21T14:43:16Z | |
| dc.date.available | 2007-02-21T14:43:16Z | |
| dc.date.issued | 2007-02-21T14:43:16Z | |
| dc.description.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 | en |
| dc.identifier.uri | http://hdl.handle.net/2003/23299 | |
| dc.identifier.uri | http://dx.doi.org/10.17877/DE290R-8234 | |
| dc.language.iso | en | de |
| dc.subject | 10-year yield | en |
| dc.subject | Bias-correction | en |
| dc.subject | Non-linear time series | en |
| dc.subject | TAR model | de |
| dc.subject | T-bond | en |
| dc.subject | Times series | en |
| dc.subject.ddc | 004 | |
| dc.title | The yield of ten year T-bonds: stumbling towards a ‘good’ forecast | en |
| dc.type | Text | |
| dc.type.publicationtype | report | en |
| dcterms.accessRights | open access |