IDEAS home Printed from https://ideas.repec.org/a/jof/jforec/v29y2010i8p673-688.html
   My bibliography  Save this article

Forecasting the 10‐year US treasury rate

Author

Listed:
  • Hamid Baghestani

Abstract

This study compares the performance of two forecasting models of the 10-year Treasury rate: a random walk (RW) model and an augmented‐autoregressive (A‐A) model which utilizes the information in the expected inflation rate. For 1993–2008, the RW and A‐A forecasts (with different lead times and forecast horizons) are generally unbiased and accurately predict directional change under symmetric loss. However, the A‐A forecasts outperform the RW, suggesting that the expected inflation rate (as a leading indicator) helps improve forecast accuracy. This finding is important since bond market efficiency implies that the RW forecasts are optimal and cannot be improved. Copyright (C) 2009 John Wiley & Sons, Ltd.

Suggested Citation

  • Hamid Baghestani, 2010. "Forecasting the 10‐year US treasury rate," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 29(8), pages 673-688, December.
    • Handle: RePEc:jof:jforec:v:29:y:2010:i:8:p:673-688
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1002/for.1165
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Chai, Jian & Zhang, Zhong-Yu & Wang, Shou-Yang & Lai, Kin Keung & Liu, John, 2014. "Aviation fuel demand development in China," Energy Economics, Elsevier, vol. 46(C), pages 224-235.
    2. Hamid Baghestani, 2022. "Mortgage rate predictability and consumer home-buying assessments," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 46(3), pages 593-603, July.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:jof:jforec:v:29:y:2010:i:8:p:673-688. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley-Blackwell Digital Licensing or Christopher F. Baum (email available below). General contact details of provider: http://www3.interscience.wiley.com/cgi-bin/jhome/2966 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.