|
EconStor >
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
|
| | |
| Title: | | The Yield of Ten-Year T-Bonds: Stumbling Towards a 'Good' Forecast  |
| Authors: | | Weißbach, Rafael Ponyatovskyy, Vladyslav Zimmermann, Guido |
| Issue Date: | | 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 |
| Appears in Collections: | | Technical Reports, SFB 475, TU Dortmund
|
| Files in This Item:
| |
| File |
Description |
Size | Format |
| tr50-06.pdf | | 182.86 kB | Adobe PDF |
|
| No. of Downloads:
| |
| last Month |
last 3 Month |
total |
|
|
|
|
|
| |
| | |
Download bibliographical data as:
BibTeX
|
| |
Share on:http://hdl.handle.net/10419/22694
|
Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.
|