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Forecasting Yield Changes Using Bond Market Order Flow

Bond market order flow contains information about future yield changes that is not incorporated into the current yield curve. Daily and monthly forecasts based on models including interdealer order flow outperform forecasts based on traditional term structure models and the random walk. A new data set, including all trades with trader identifications in both tiers of the Norwegian government bond market, enables the paper to investigate the sources of predictability. Forecasts based on individual bond dealer order flow suggest that customer type, rather than the size of the customer base, is one of the sources. The results also indicate that informed dealers depend on other sources like superior capacity in interpreting macroeconomic news and the trades of other bond dealers.