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
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DOI - Digital Object Identifier
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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
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
AH - Economics
OECD FORD branch
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Result continuities
Project
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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
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ISSN
2382-6797
e-ISSN
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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
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