The employment of goverment bond spreads in prediction of economic activity in EU-15

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F14%3A00076115" target="_blank" >RIV/00216224:14560/14:00076115 - 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 employment of goverment bond spreads in prediction of economic activity in EU-15
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 real growth the near term. This paper aims to analyse the dependence between slope of the yield curve and an economic activity of EU-15 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 andprobably the most popular measure of economic growth is by GDP growth, taken quarterly. The results showed that the best predictive lag of spread is a lag of four and five quarters. The theory says that it should be lag of four quarters.
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
Conference Proceedings of the 12th International Scientific Conference "Economic Policy in the European Union Member Countries"
ISBN
9788075100450
ISSN
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e-ISSN
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Number of pages
10
Pages from-to
311-320
Publisher name
Sileasian University, School of Business Administration
Place of publication
Karviná
Event location
Ostravice
Event date
Jan 1, 2014
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
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