The employment of goverment bond spreads in prediction of economic activity in EU-15

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 employment of goverment bond spreads in prediction of economic activity in EU-15

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 analyse the dependence between slope of the yield curve and an economic activity of EU-15 between the years 2000 and 2013. The slope of the yield curve can be measured as the yield spread between sovereign 10-year bonds and sovereign 3-month bonds. The natural andprobably the most popular measure of economic growth is by GDP growth, taken quarterly. The results showed that the best predictive lag of spread is a lag of four and five quarters. The theory says that it should be lag of four quarters.

Název v anglickém jazyce

The employment of goverment bond spreads in prediction of economic activity in EU-15

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 analyse the dependence between slope of the yield curve and an economic activity of EU-15 between the years 2000 and 2013. The slope of the yield curve can be measured as the yield spread between sovereign 10-year bonds and sovereign 3-month bonds. The natural andprobably the most popular measure of economic growth is by GDP growth, taken quarterly. The results showed that the best predictive lag of spread is a lag of four and five quarters. The theory says that it should be lag of four quarters.

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

Conference Proceedings of the 12th International Scientific Conference "Economic Policy in the European Union Member Countries"

ISBN

9788075100450

ISSN

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e-ISSN

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Počet stran výsledku

10

Strana od-do

311-320

Název nakladatele

Sileasian University, School of Business Administration

Místo vydání

Karviná

Místo konání akce

Ostravice

Datum konání akce

1. 1. 2014

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

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