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dc.contributor.authorWeißbach, Rafaelen_US
dc.contributor.authorPonyatovskyy, Vladyslaven_US
dc.contributor.authorZimmermann, Guidoen_US
dc.date.accessioned2009-01-29T15:06:33Z-
dc.date.available2009-01-29T15:06:33Z-
dc.date.issued2006en_US
dc.identifier.urihttp://hdl.handle.net/10419/22694-
dc.description.abstractDue 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.isoengen_US
dc.relation.ispartofseriesTechnical Report, Universität Dortmund, SFB 475 Komplexitätsreduktion in Multivariaten Datenstrukturen 2006,50en_US
dc.subject.jelC52en_US
dc.subject.jelE47en_US
dc.subject.ddc330en_US
dc.subject.keywordT-bonden_US
dc.subject.keywordtimes seriesen_US
dc.subject.keyword10-year yielden_US
dc.subject.keywordTAR modelen_US
dc.subject.keywordbias-correctionen_US
dc.subject.keywordnon-linear time seriesen_US
dc.titleThe Yield of Ten-Year T-Bonds: Stumbling Towards a 'Good' Forecasten_US
dc.typeWorking Paperen_US
dc.identifier.ppn534705251en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:sfb475:200650-
Appears in Collections:Technical Reports, SFB 475, TU Dortmund

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