Baghestani, Hamid - In: Journal of Forecasting 29 (2010) 8, pp. 673-688
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...