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The yield curve as a predictor of gross domestic product growth in Nordic countries

The result's identifiers

  • Result code in IS VaVaI

    <a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F15%3A00089127" target="_blank" >RIV/00216224:14560/15:00089127 - isvavai.cz</a>

  • Result on the web

    <a href="http://dx.doi.org/10.1016/S2212-5671(15)00871-0" target="_blank" >http://dx.doi.org/10.1016/S2212-5671(15)00871-0</a>

  • DOI - Digital Object Identifier

    <a href="http://dx.doi.org/10.1016/S2212-5671(15)00871-0" target="_blank" >10.1016/S2212-5671(15)00871-0</a>

Alternative languages

  • Result language

    angličtina

  • Original language name

    The yield curve as a predictor of gross domestic product growth in Nordic countries

  • 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 are lag of four and five quarters. The results presented also confirm that 10-year and 3-month yield spread has significant predictive power to real GDP growth after financial crisis.

  • Czech name

  • Czech description

Classification

  • Type

    D - Article in proceedings

  • CEP classification

    AE - Management, administration and clerical work

  • OECD FORD branch

Result continuities

  • Project

  • Continuities

    S - Specificky vyzkum na vysokych skolach

Others

  • Publication year

    2015

  • Confidentiality

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

Data specific for result type

  • Article name in the collection

    Procedia Economics and Finance. 4th World Conference on Business, Economics and Management (WCBEM-2015)

  • ISBN

  • ISSN

    2212-5671

  • e-ISSN

  • Number of pages

    8

  • Pages from-to

    438-445

  • Publisher name

    Elsevier Ltd.

  • Place of publication

    Amsterdam

  • Event location

    Turkey

  • Event date

    Jan 1, 2015

  • Type of event by nationality

    EUR - Evropská akce

  • UT code for WoS article

    000381990300066