The yield curve as a predictor of economic activity ? the case of the Visegrad group

Kód výsledku v IS VaVaI

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Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

The yield curve as a predictor of economic activity ? the case of the Visegrad group

Popis výsledku v původním jazyce

In this paper we study the ability of the yield curve to predict GDP activity in four countries of the Visegrad group ? Czech Republic, Slovakia, Poland and Hungary. The dataset contains the spread between 10-year and 3-month sovereign bonds and real GDPof the countries mentioned above between the years 2002 and 2012. The results showed that the prediction of the GDP growth or decrease was proven after year 2008 (the financial crisis) in the Czech Republic, Slovakia and Hungary, the predictive power ofthe yield curve was lowered in those countries before the year 2008. Certainly the simple yield curve growth forecast should not serve as a replacement for the complex predictive models, it does, however, provide enough information to serve as a usefulcheck on the more sophisticated forecasts. These findings provide further evidence of the potential usefulness of the yield curve spreads as indicators of the future economic activity.

Název v anglickém jazyce

The yield curve as a predictor of economic activity ? the case of the Visegrad group

Popis výsledku anglicky

In this paper we study the ability of the yield curve to predict GDP activity in four countries of the Visegrad group ? Czech Republic, Slovakia, Poland and Hungary. The dataset contains the spread between 10-year and 3-month sovereign bonds and real GDPof the countries mentioned above between the years 2002 and 2012. The results showed that the prediction of the GDP growth or decrease was proven after year 2008 (the financial crisis) in the Czech Republic, Slovakia and Hungary, the predictive power ofthe yield curve was lowered in those countries before the year 2008. Certainly the simple yield curve growth forecast should not serve as a replacement for the complex predictive models, it does, however, provide enough information to serve as a usefulcheck on the more sophisticated forecasts. These findings provide further evidence of the potential usefulness of the yield curve spreads as indicators of the future economic activity.

Druh

D - Stať ve sborníku

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

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Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2013

Kód důvěrnosti údajů

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

Název statě ve sborníku

European Financial Systems 2013. Proceedings of the 10th International Scientific Conference

ISBN

9788021062948

ISSN

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e-ISSN

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Počet stran výsledku

6

Strana od-do

134-139

Název nakladatele

Masaryk University

Místo vydání

Brno

Místo konání akce

Telč

Datum konání akce

1. 1. 2013

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

000324654400018