Ponyatovskyy, VladyslavWeißbach, RafaelZimmermann, Guido2007-02-212007-02-212007-02-21http://hdl.handle.net/2003/2329910.17877/DE290R-8234Due 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, C52en10-year yieldBias-correctionNon-linear time seriesTAR modelT-bondTimes series004report