The application of sovereign bond spreads: The case of France, Germany and Great Britain

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F14%3A00076114" target="_blank" >RIV/00216224:14560/14:00076114 - isvavai.cz</a>

Result on the web

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DOI - Digital Object Identifier

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Result language

čeština

Original language name

The application of sovereign bond spreads: The case of France, Germany and Great Britain

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. The steepness of the yield curve should be an excellent indicator of a possible future economic activity. A rise in the short rate tends to flatten the yield curve as well as to slow down real growth the near term. This paper aims to analyze the dependence between slope of the yield curve and an economic activity of France, Germany and Great Britain between the years 2000 and 2013. The slope of the yield curve can be measured as the yield spread between sovereign 10-year bonds and sovereign 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 lag is a lag of five quarters. The theory says that it should be lag of

Czech name

The application of sovereign bond spreads: The case of France, Germany and Great Britain

Czech 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. The steepness of the yield curve should be an excellent indicator of a possible future economic activity. A rise in the short rate tends to flatten the yield curve as well as to slow down real growth the near term. This paper aims to analyze the dependence between slope of the yield curve and an economic activity of France, Germany and Great Britain between the years 2000 and 2013. The slope of the yield curve can be measured as the yield spread between sovereign 10-year bonds and sovereign 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 lag is a lag of five quarters. The theory says that it should be lag of

Type

D - Article in proceedings

CEP classification

AH - Economics

OECD FORD branch

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Project

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Continuities

S - Specificky vyzkum na vysokych skolach

Publication year

2014

Confidentiality

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

Article name in the collection

Proceedings of the 32nd International Conference Mathematical Methods in Economics 2014

ISBN

9788024442099

ISSN

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e-ISSN

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Number of pages

5

Pages from-to

343-347

Publisher name

Palacký University, Faculty of Science

Place of publication

Olomouc

Event location

Olomouc

Event date

Jan 1, 2014

Type of event by nationality

EUR - Evropská akce

UT code for WoS article

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