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The prediction of economic activity growth by sovereign bond spread in France, Germany and Great Britain

The result's identifiers

  • Result code in IS VaVaI

    <a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F16%3A00091067" target="_blank" >RIV/00216224:14560/16:00091067 - isvavai.cz</a>

  • Result on the web

  • DOI - Digital Object Identifier

Alternative languages

  • Result language

    angličtina

  • Original language name

    The prediction of economic activity growth by sovereign bond spread in France, Germany and Great Britain

  • Original language description

    The steepness of the bond 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. The relationship between the spread and future GDP activity was proved already before. One question remains – which spread is the best for the future prediction? Is it the spread between sovereign 10-year bonds and 3-month bonds or 30-year and 1- year or 10-year and 1-year sovereign bonds? This paper aims to analyze which spread is the most suitable for predicting of future economic growth in France, Germany and Great Britain between the years 2000 and 2016. The natural and probably the most popular measure of economic growth is GDP growth, taken quarterly. We have found out that the best predictive spreads in France, Germany and Great Britain are the spreads of 30-year and 1-year and 10-year and 1-year government bond yields.

  • 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

    2016

  • Confidentiality

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

Data specific for result type

  • Article name in the collection

    European Financial Systems 2016. Proceedings of the 13th International Scientific Conference

  • ISBN

    9788021083080

  • ISSN

  • e-ISSN

  • Number of pages

    6

  • Pages from-to

    256-261

  • Publisher name

    Masarykova univerzita

  • Place of publication

    Brno

  • Event location

    Brno

  • Event date

    Jan 1, 2016

  • Type of event by nationality

    EUR - Evropská akce

  • UT code for WoS article

    000385692200033