Home
Forms Library
Forecasting the term structure of government bond yields

Forecasting the term structure of government bond yields 2026

Forecasting the term structure of government bond yields Preview on Page 1

See details

4.9 out of 5

53 votes

The paper by Diebold and Li (2006) addresses the practical challenge of forecasting the term structure of government bond yields, utilizing a dynamic three-dimensional parameter model based on the Nelson-Siegel framework. The authors propose autoregressive models for factors representing level, slope, and curvature of the yield curve, demonstrating that their forecasts outperform standard benchmarks, particularly at longer horizons. The study emphasizes the importance of structured modeling in enhancing out-of-sample forecasting accuracy.

Here's how it works

01. Edit your form online

Type text, add images, blackout confidential details, add comments, highlights and more.

02. Sign it in a few clicks

Draw your signature, type it, upload its image, or use your mobile device as a signature pad.

03. Share your form with others

Send it via email, link, or fax. You can also download it, export it or print it out.

How to use or fill out Forecasting the term structure of government bond yields with our platform

Ease of Setup

DocHub User Ratings on G2

Ease of Use

DocHub User Ratings on G2

Click ‘Get Form’ to open it in the editor.
Begin by entering your name and contact information in the designated fields. This ensures that you can be reached for any follow-up questions regarding your forecasts.
In the section labeled 'Model Parameters', input the values for level, slope, and curvature as per your analysis. These parameters are crucial for accurately forecasting the yield curve.
Next, navigate to the 'Forecast Horizon' section. Select the desired time frame for your forecasts, whether short-term or long-term, based on your investment strategy.
Review all entered data for accuracy. Utilize our platform's built-in validation features to ensure that all required fields are completed correctly before submission.
Once satisfied with your entries, click ‘Submit’ to finalize your forecast model. You can also save a copy of your form for future reference.

Start using our platform today to streamline your forecasting process and enhance your financial decision-making!

be ready to get more

Complete this form in 5 minutes or less

Get form

Got questions?

We have answers to the most popular questions from our customers. If you can't find an answer to your question, please contact us.

How to predict bond yields?

The coupon rate can be calculated by dividing the annual coupon payment by the bonds par value. Coupon Rate (%) = Coupon Bond Par Value. Current Yield (%) = Annual Coupon Bond Price. Current Yield = (Coupon Rate x Par Value) Bond Quote. =YIELD(settlement, maturity, rate, pr, redemption, frequency)

What is the term structure of interest rates and how does a treasury yield curve look like?

Essentially, the term structure of interest rates is the relationship between interest rates or bond yields and different terms or maturities. When graphed, the term structure of interest rates is known as the yield curve, and it plays a crucial role in identifying the state of the economy.

What are government bonds yielding?

Treasury Yields NameCouponYield GB12:GOV 12 Month 0.00 4.03% GT2:GOV 2 Year 4.13 3.95% GT5:GOV 5 Year 4.00 4.00% GT10:GOV 10 Year 4.63 4.25%3 more rows

What is the forecast for the government bond yield?

The Canada 10-Year Government Bond Yield is expected to trade at 2.99 percent by the end of this quarter, ing to Trading Economics global macro models and analysts expectations. Looking forward, we estimate it to trade at 2.97 in 12 months time.