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https://hdl.handle.net/10419/22694
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DC Field | Value | Language |
---|---|---|
dc.contributor.author | Weißbach, Rafael | en |
dc.contributor.author | Ponyatovskyy, Vladyslav | en |
dc.contributor.author | Zimmermann, Guido | en |
dc.date.accessioned | 2009-01-29T15:06:33Z | - |
dc.date.available | 2009-01-29T15:06:33Z | - |
dc.date.issued | 2006 | - |
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 |
dc.language.iso | eng | en |
dc.publisher | |aUniversität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen |cDortmund | en |
dc.relation.ispartofseries | |aTechnical Report |x2006,50 | en |
dc.subject.jel | C52 | en |
dc.subject.jel | E47 | en |
dc.subject.ddc | 519 | en |
dc.subject.keyword | T-bond | en |
dc.subject.keyword | times series | en |
dc.subject.keyword | 10-year yield | en |
dc.subject.keyword | TAR model | en |
dc.subject.keyword | bias-correction | en |
dc.subject.keyword | non-linear time series | en |
dc.title | The Yield of Ten-Year T-Bonds: Stumbling Towards a 'Good' Forecast | - |
dc.type | Working Paper | en |
dc.identifier.ppn | 534705251 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
dc.identifier.repec | RePEc:zbw:sfb475:200650 | en |
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