@techreport{Weibach2006Yield,
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.},
author = {Rafael Wei\ss{}bach and Vladyslav Ponyatovskyy and Guido Zimmermann},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {C52; E47; 330; T-bond; times series; 10-year yield; TAR model; bias-correction; non-linear time series},
language = {eng},
number = {2006,50},
title = {The Yield of Ten-Year T-Bonds: Stumbling Towards a 'Good' Forecast},
type = {Technical Report, Universit\"{a}t Dortmund, SFB 475 Komplexit\"{a}tsreduktion in Multivariaten Datenstrukturen},
url = {http://hdl.handle.net/10419/22694},
year = {2006}
}
