The yield curve as a predictor of economic activity ? the case of EU-15

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F14%3A00075858" target="_blank" >RIV/00216224:14560/14:00075858 - 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 yield curve as a predictor of economic activity ? the case of EU-15

Popis výsledku v původním jazyce

In this paper the ability of the yield curve to predict GDP activity was examined in the countries of EU-15 ? Austria, Belgium, Denmark, Finland, France, Germany, Greece, Ireland, Italy, Luxemburg, the Netherlands, Portugal, Spain, Sweden and United Kingdom. The dataset contains the spread between 10-year and 3-month sovereign bonds and real GDP of the countries mentioned above between the years 2000 and 2013. The results showed that the prediction ability of the GDP growth or decrease was proven afteryear 2008 (the financial crisis) in Austria, Denmark, Finland, France, Germany, Ireland, Sweden and United Kingdom. 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 useful check on the more sophisticated forecasts.

Název v anglickém jazyce

The yield curve as a predictor of economic activity ? the case of EU-15

Popis výsledku anglicky

In this paper the ability of the yield curve to predict GDP activity was examined in the countries of EU-15 ? Austria, Belgium, Denmark, Finland, France, Germany, Greece, Ireland, Italy, Luxemburg, the Netherlands, Portugal, Spain, Sweden and United Kingdom. The dataset contains the spread between 10-year and 3-month sovereign bonds and real GDP of the countries mentioned above between the years 2000 and 2013. The results showed that the prediction ability of the GDP growth or decrease was proven afteryear 2008 (the financial crisis) in Austria, Denmark, Finland, France, Germany, Ireland, Sweden and United Kingdom. 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 useful check on the more sophisticated forecasts.

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

Financial Regulation and Supervision in the After - Crisis Period. Proceedings of 14th International Conference on Finance and Banking

ISBN

9788072489398

ISSN

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e-ISSN

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Počet stran výsledku

9

Strana od-do

131-139

Název nakladatele

Silesian University

Místo vydání

Karviná

Místo konání akce

Karviná

Datum konání akce

1. 1. 2014

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

000345575000016