Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/22694
Authors: 
Weißbach, Rafael
Ponyatovskyy, Vladyslav
Zimmermann, Guido
Year of Publication: 
2006
Series/Report no.: 
Technical Report, Universität Dortmund, SFB 475 Komplexitätsreduktion in Multivariaten Datenstrukturen 2006,50
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.
Subjects: 
T-bond
times series
10-year yield
TAR model
bias-correction
non-linear time series
JEL: 
C52
E47
Document Type: 
Working Paper

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