The Yield of Ten-Year T-Bonds: Stumbling Towards a 'Good' Forecast
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.
|Date of creation:||2006|
|Date of revision:|
|Contact details of provider:|| Postal: Vogelpothsweg 78, D-44221 Dortmund|
Phone: (0231) 755-3125
Fax: (0231) 755-5284
Web page: http://www.statistik.tu-dortmund.de/sfb475.html
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Zeileis, Achim & Leisch, Friedrich & Kleiber, Christian & Hornik, Kurt, 2002.
"Monitoring structural change in dynamic econometric models,"
2002,07, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
- Kurt Hornik & Friedrich Leisch & Christian Kleiber & Achim Zeileis, 2005. "Monitoring structural change in dynamic econometric models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(1), pages 99-121.
- John Y. Campbell, 1995.
"Some Lessons from the Yield Curve,"
NBER Working Papers
5031, National Bureau of Economic Research, Inc.
- John Y. Campbell, 1995. "Some Lessons from the Yield Curve," Harvard Institute of Economic Research Working Papers 1713, Harvard - Institute of Economic Research.
- Campbell, John, 1995. "Some Lessons from the Yield Curve," Scholarly Articles 3163264, Harvard University Department of Economics.
- Glenn D. Rudebusch & Eric T. Swanson & Tao Wu, 2006.
"The Bond Yield "Conundrum" from a Macro-Finance Perspective,"
Monetary and Economic Studies,
Institute for Monetary and Economic Studies, Bank of Japan, vol. 24(S1), pages 83-109, December.
- Glenn D. Rudebusch & Eric T. Swanson & Tao Wu, 2006. "The bond yield "conundrum" from a macro-finance perspective," Working Paper Series 2006-16, Federal Reserve Bank of San Francisco.
- Francis E. Warnock & Veronica C. Warnock, 2005.
"International Capital Flows and U.S. Interest Rates,"
The Institute for International Integration Studies Discussion Paper Series
- Francis E. Warnock & Veronica Cacdac Warnock, 2006. "International Capital Flows and U.S. Interest Rates," NBER Working Papers 12560, National Bureau of Economic Research, Inc.
- Francis E. Warnock & Veronica C. Warnock, 2005. "International capital flows and U.S. interest rates," International Finance Discussion Papers 840, Board of Governors of the Federal Reserve System (U.S.).
- David C. Wheelock, 2005. "Has the bond market forgotten oil?," Monetary Trends, Federal Reserve Bank of St. Louis, issue May.
- Marvin Goodfriend, 1993.
"Interest rate policy and the inflation scare problem: 1979-1992,"
Federal Reserve Bank of Richmond, issue Win, pages 1-24.
- Marvin Goodfriend, 1993. "Interest rate policy and the inflation scare problem: 1979-1992," Proceedings, Board of Governors of the Federal Reserve System (U.S.).
- Massimo Guidolin, 2005. "Is the bond market irrational?," Monetary Trends, Federal Reserve Bank of St. Louis, issue Jul.
- Michael D. Bordo & William G. Dewald, 2001. "Bond Market Inflation Expectations in Industrial Countries: Historical Comparisons," NBER Working Papers 8582, National Bureau of Economic Research, Inc.
- Mathias Hoffmann & Ronald MacDonald, 2006.
"A Re-examination of the link between Real Exchange Rates and Real Interest Rate Differentials,"
2007_36, Business School - Economics, University of Glasgow.
- Mathias Hoffmann & Ronald MacDonald, 2003. "A Re-examination of the Link between Real Exchange Rates and Real Interest Rate Differentials," CESifo Working Paper Series 894, CESifo Group Munich.
- Michael J. Fleming & Eli M. Remolona, 1997.
"What moves the bond market?,"
9706, Federal Reserve Bank of New York.
- Kevin L. Kliesen, 2005. "Battle at bond bluff: forecasters vs. financial markets," National Economic Trends, Federal Reserve Bank of St. Louis, issue Jun.
- Tao Wu, 2005. "The long-term interest rate conundrum: not unraveled yet?," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue apr29.
- Michael J. Fleming, 2000. "The benchmark U.S. Treasury market: recent performance and possible alternatives," Economic Policy Review, Federal Reserve Bank of New York, issue Apr, pages 129-145.
When requesting a correction, please mention this item's handle: RePEc:zbw:sfb475:200650. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (ZBW - German National Library of Economics)
If references are entirely missing, you can add them using this form.