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Technische Universität Dortmund >
Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen, Technische Universität Dortmund >
Technical Reports, SFB 475, TU Dortmund >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/22694
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Weißbach, Rafael | | en_US |
| dc.contributor.author | | Ponyatovskyy, Vladyslav | | en_US |
| dc.contributor.author | | Zimmermann, Guido | | en_US |
| dc.date.accessioned | | 2009-01-29T15:06:33Z | | - |
| dc.date.available | | 2009-01-29T15:06:33Z | | - |
| dc.date.issued | | 2006 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/22694 | | - |
| 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. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.relation.ispartofseries | | Technical Report, Universität Dortmund, SFB 475 Komplexitätsreduktion in Multivariaten Datenstrukturen 2006,50 | | en_US |
| dc.subject.jel | | C52 | | en_US |
| dc.subject.jel | | E47 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | T-bond | | en_US |
| dc.subject.keyword | | times series | | en_US |
| dc.subject.keyword | | 10-year yield | | en_US |
| dc.subject.keyword | | TAR model | | en_US |
| dc.subject.keyword | | bias-correction | | en_US |
| dc.subject.keyword | | non-linear time series | | en_US |
| dc.title | | The Yield of Ten-Year T-Bonds: Stumbling Towards a 'Good' Forecast | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 534705251 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | - |
| dc.identifier.repec | | RePEc:zbw:sfb475:200650 | | - |
| Appears in Collections: | | Technical Reports, SFB 475, TU Dortmund
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