The application of sovereign bond spreads: The case of selected EU countries and the USA

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F15%3A00083241" target="_blank" >RIV/00216224:14560/15:00083241 - isvavai.cz</a>

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

čeština

Název v původním jazyce

The application of sovereign bond spreads: The case of selected EU countries and the USA

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 u se and significantly outperform 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 down real growth the near term. This paper aims to analyze the dependence between slope of the yield cu rve and an economic activity of selected EU countries and the USA between the years 2000 and 2014. 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 and probably the most popular measu re of economic growth is GDP growth, taken quarterly. The results showed that the best predictive lag s are lag o f four and five quarters.

Název v anglickém jazyce

The application of sovereign bond spreads: The case of selected EU countries and the USA

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 u se and significantly outperform 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 down real growth the near term. This paper aims to analyze the dependence between slope of the yield cu rve and an economic activity of selected EU countries and the USA between the years 2000 and 2014. 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 and probably the most popular measu re of economic growth is GDP growth, taken quarterly. The results showed that the best predictive lag s are lag o f four and five quarters.

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

AE - Řízení, správa a administrativa

OECD FORD obor

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Projekt

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Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2015

Kód důvěrnosti údajů

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

Název periodika

Acta academica karviniensia

ISSN

1212-415X

e-ISSN

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Svazek periodika

2015

Číslo periodika v rámci svazku

1

Stát vydavatele periodika

CZ - Česká republika

Počet stran výsledku

11

Strana od-do

59-69

Kód UT WoS článku

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EID výsledku v databázi Scopus

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