Title: The European financial crisis - a challenge for ten-year German government bond yield forecasts?

Authors: Frederik Kunze

Addresses: Department of Economics, Norddeutsche Landesbank Girozentrale, Friedrichswall 10, 30159 Hannover, Germany

Abstract: The global financial crisis and European sovereign debt crisis did have major impacts on the whole European monetary union as well as on interest rates at the short and long end of the yield curve. In the case of Germany the flight to quality effect did have substantially impact on long term government bond yields. These to some extent surprising events might have been puzzling for professional interest rate forecasters as well. In order to investigate the quality survey predictions during the financial crisis and European sovereign debt crisis it will be tested for long-run relationships, for structural breaks in these relations as well as for short run dynamics.

Keywords: forecast evaluation; efficiency; cointegration; structural breaks; interest rate forecasts; ten-year government bonds; bond yield forecasting; German government bonds; Germany; global financial crisis; European sovereign debt crisis.

DOI: 10.1504/IJBD.2014.067402

International Journal of Bonds and Derivatives, 2014 Vol.1 No.2, pp.171 - 185

Received: 19 Mar 2014
Accepted: 04 Aug 2014
Published online: 14 Feb 2015 *

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