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
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DOI - Digital Object Identifier
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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
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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
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
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e-ISSN
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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