Modeling Long-Term Government Bond Yields: An Efficient Market Approach

Paul Sundell and Mark Denbaly

No 278623, Staff Reports from United States Department of Agriculture, Economic Research Service

Abstract: Movements in long-term Treasury bond (T-bond) rates directly influence interest rate sensitive sectors such as agriculture. More specifically, T-bond yields underpin private intermediate and long-term lending rates such as long-term agricultural mortgage and farm equipment loans. Because of this, forecasts of long-term lending rates for agriculture must begin with forecast assumptions concerning the T-bonds. This report builds upon previous empirical work that indicates term premiums on bonds are variable and partly predictable over time. The model developed here also accounts for increasing globalization of financial markets and the increased substitutability of foreign and U.S. bonds. This report constructs a model for generating forecasts of T-bond rates that can be used as an input in predicting specific agricultural long-term interest rates.

Keywords: Political Economy; Productivity Analysis (search for similar items in EconPapers)
Pages: 20
Date: 1992-03
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://ageconsearch.umn.edu/record/278623/files/ers-report-558.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ags:uerssr:278623

DOI: 10.22004/ag.econ.278623

Access Statistics for this paper

More papers in Staff Reports from United States Department of Agriculture, Economic Research Service Contact information at EDIRC.
Bibliographic data for series maintained by AgEcon Search ().