The Utilization of Sovereign Bond Spreads: The Case of V4 Countries
Identifikátory výsledku
Kód výsledku v IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F14%3A00076113" target="_blank" >RIV/00216224:14560/14:00076113 - isvavai.cz</a>
Výsledek na webu
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DOI - Digital Object Identifier
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Alternativní jazyky
Jazyk výsledku
angličtina
Název v původním jazyce
The Utilization of Sovereign Bond Spreads: The Case of V4 Countries
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. The steepness of the 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 real growth the near term. This paper aims to analyze the dependence between slope of the yield curve and an economic activity of V4 countries (Czech Republic, Hungary, Poland, Slovakia) between the years 2000 and 2013. The slope of the yield curve can be measured as the yield spread between sovereign 10-yearbonds and sovereign 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 chos
Název v anglickém jazyce
The Utilization of Sovereign Bond Spreads: The Case of V4 Countries
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. The steepness of the 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 real growth the near term. This paper aims to analyze the dependence between slope of the yield curve and an economic activity of V4 countries (Czech Republic, Hungary, Poland, Slovakia) between the years 2000 and 2013. The slope of the yield curve can be measured as the yield spread between sovereign 10-yearbonds and sovereign 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 chos
Klasifikace
Druh
D - Stať ve sborníku
CEP obor
AH - Ekonomie
OECD FORD obor
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Návaznosti výsledku
Projekt
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Návaznosti
S - Specificky vyzkum na vysokych skolach
Ostatní
Rok uplatnění
2014
Kód důvěrnosti údajů
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Údaje specifické pro druh výsledku
Název statě ve sborníku
Proceedings of the 11th International Scientific Conference European Financial Systems 2014
ISBN
9788021071537
ISSN
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e-ISSN
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Počet stran výsledku
6
Strana od-do
266-271
Název nakladatele
Masaryk University
Místo vydání
Brno
Místo konání akce
Lednice
Datum konání akce
1. 1. 2014
Typ akce podle státní příslušnosti
EUR - Evropská akce
Kód UT WoS článku
000350701500035