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
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
AE - Management, administration and clerical work
OECD FORD branch
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Result continuities
Project
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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
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ISSN
2212-5671
e-ISSN
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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