The Application of Sovereign Bond Spreads (The Case of Finland, Iceland, Norway, Sweden, Switzerland and Russia)

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F14%3A00075771" target="_blank" >RIV/00216224:14560/14:00075771 - isvavai.cz</a>

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

The Application of Sovereign Bond Spreads (The Case of Finland, Iceland, Norway, Sweden, Switzerland and Russia)

Popis výsledku v původním jazyce

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 differ in each country and each time span we chose. The most common lags ofspreads are lag four, five and six quarters. The results presented confirm that 10-year and 3-month yield spread has significant predictive power for real GDP growth.

Název v anglickém jazyce

The Application of Sovereign Bond Spreads (The Case of Finland, Iceland, Norway, Sweden, Switzerland and Russia)

Popis výsledku anglicky

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 differ in each country and each time span we chose. The most common lags ofspreads are lag four, five and six quarters. The results presented confirm that 10-year and 3-month yield spread has significant predictive power for real GDP growth.

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

2014

Kód důvěrnosti údajů

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

Název statě ve sborníku

6th International Conference "Economic Challenges in Enlarged Europe" - Conference Proceedings

ISBN

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ISSN

2382-6797

e-ISSN

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Počet stran výsledku

11

Strana od-do

1-11

Název nakladatele

Tallinn University of Technology

Místo vydání

Tallinn

Místo konání akce

Tallinn

Datum konání akce

1. 1. 2014

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

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