Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/22694 
Erscheinungsjahr: 
2006
Schriftenreihe/Nr.: 
Technical Report No. 2006,50
Verlag: 
Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen, Dortmund
Zusammenfassung: 
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.
Schlagwörter: 
T-bond
times series
10-year yield
TAR model
bias-correction
non-linear time series
JEL: 
C52
E47
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
182.86 kB





Publikationen in EconStor sind urheberrechtlich geschützt.