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• W1912535634 abstract "Due to their status as 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." @default.
• W1912535634 created "2016-06-24" @default.
• W1912535634 creator A5012635098 @default.
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• W1912535634 date "2007-02-21" @default.
• W1912535634 modified "2023-09-23" @default.
• W1912535634 title "The yield of ten year T-bonds: stumbling towards a ‘good’ forecast" @default.
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• W1912535634 doi "https://doi.org/10.17877/de290r-8234" @default.
• W1912535634 hasPublicationYear "2007" @default.
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