The yield curve as a predictor of economic activity ? the case of the Visegrad group

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F13%3A00069275" target="_blank" >RIV/00216224:14560/13:00069275 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
The yield curve as a predictor of economic activity ? the case of the Visegrad group
Original language description
In this paper we study the ability of the yield curve to predict GDP activity in four countries of the Visegrad group ? Czech Republic, Slovakia, Poland and Hungary. The dataset contains the spread between 10-year and 3-month sovereign bonds and real GDPof the countries mentioned above between the years 2002 and 2012. The results showed that the prediction of the GDP growth or decrease was proven after year 2008 (the financial crisis) in the Czech Republic, Slovakia and Hungary, the predictive power ofthe yield curve was lowered in those countries before the year 2008. Certainly the simple yield curve growth forecast should not serve as a replacement for the complex predictive models, it does, however, provide enough information to serve as a usefulcheck on the more sophisticated forecasts. These findings provide further evidence of the potential usefulness of the yield curve spreads as indicators of the future economic activity.
Czech name
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Czech description
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Publication year
2013
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
European Financial Systems 2013. Proceedings of the 10th International Scientific Conference
ISBN
9788021062948
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
134-139
Publisher name
Masaryk University
Place of publication
Brno
Event location
Telč
Event date
Jan 1, 2013
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
000324654400018

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