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The Application of Sovereign Bond Spreads (The Case of Finland, Iceland, Norway, Sweden, Switzerland and Russia)

The result's identifiers

  • Result code in IS VaVaI

    <a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F14%3A00075771" target="_blank" >RIV/00216224:14560/14:00075771 - isvavai.cz</a>

  • Result on the web

  • DOI - Digital Object Identifier

Alternative languages

  • Result language

    angličtina

  • Original language name

    The Application of Sovereign Bond Spreads (The Case of Finland, Iceland, Norway, Sweden, Switzerland and Russia)

  • Original language description

    The yield curve ? specifically the spread between long term and short term interest rates is a valuable forecasting tool. It is simple to use and significantly outperforms other financial and macroeconomic indicators in predicting recessions two to six quarters ahead. This paper aims to analyse the dependence between slope of the yield curve and an economic activity of selected countries between the years 2000 and 2013. The slope of the yield curve can be measured as the yield spread between sovereign 10-year and 3-month bonds. The natural and probably the most popular measure of economic growth is by GDP growth, taken quarterly. The results showed that the best predictive lags differ in each country and each time span we chose. The most common lags ofspreads are lag four, five and six quarters. The results presented confirm that 10-year and 3-month yield spread has significant predictive power for real GDP growth.

  • Czech name

  • Czech description

Classification

  • Type

    D - Article in proceedings

  • CEP classification

    AH - Economics

  • OECD FORD branch

Result continuities

  • Project

  • Continuities

    S - Specificky vyzkum na vysokych skolach

Others

  • Publication year

    2014

  • Confidentiality

    S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Data specific for result type

  • Article name in the collection

    6th International Conference "Economic Challenges in Enlarged Europe" - Conference Proceedings

  • ISBN

  • ISSN

    2382-6797

  • e-ISSN

  • Number of pages

    11

  • Pages from-to

    1-11

  • Publisher name

    Tallinn University of Technology

  • Place of publication

    Tallinn

  • Event location

    Tallinn

  • Event date

    Jan 1, 2014

  • Type of event by nationality

    WRD - Celosvětová akce

  • UT code for WoS article