The yield curve as a predictor of economic activity ? the case of EU-15

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F14%3A00075858" target="_blank" >RIV/00216224:14560/14:00075858 - 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 EU-15
Original language description
In this paper the ability of the yield curve to predict GDP activity was examined in the countries of EU-15 ? Austria, Belgium, Denmark, Finland, France, Germany, Greece, Ireland, Italy, Luxemburg, the Netherlands, Portugal, Spain, Sweden and United Kingdom. The dataset contains the spread between 10-year and 3-month sovereign bonds and real GDP of the countries mentioned above between the years 2000 and 2013. The results showed that the prediction ability of the GDP growth or decrease was proven afteryear 2008 (the financial crisis) in Austria, Denmark, Finland, France, Germany, Ireland, Sweden and United Kingdom. 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 useful check on the more sophisticated forecasts.
Czech name
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Czech description
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Publication year
2014
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Financial Regulation and Supervision in the After - Crisis Period. Proceedings of 14th International Conference on Finance and Banking
ISBN
9788072489398
ISSN
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e-ISSN
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Number of pages
9
Pages from-to
131-139
Publisher name
Silesian University
Place of publication
Karviná
Event location
Karviná
Event date
Jan 1, 2014
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
000345575000016

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