THE EMPLOYMENT OF GOVERNMENT BOND SPREADS IN PREDICTION OF ECONOMIC ACTIVITY IN EU-15

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F15%3A00085863" target="_blank" >RIV/00216224:14560/15:00085863 - isvavai.cz</a>

Výsledek na webu

—

DOI - Digital Object Identifier

—

Jazyk výsledku

angličtina

Název v původním jazyce

THE EMPLOYMENT OF GOVERNMENT 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 thedependence 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 and probably 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 GOVERNMENT 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 thedependence 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 and probably 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

AE - Řízení, správa a administrativa

OECD FORD obor

—

Projekt

—

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 statě ve sborníku

PROCEEDINGS OF 12TH INTERNATIONAL SCIENTIFIC CONFERENCE: ECONOMIC POLICY IN THE EUROPEAN UNION MEMBER COUNTRIES, PTS I AND II

ISBN

9788075101143

ISSN

—

e-ISSN

—

Počet stran výsledku

8

Strana od-do

253-260

Název nakladatele

SILESIAN UNIV OPAVA, SCHOOL BUSINESS ADMINISTRATION KARVINA

Místo vydání

KARVINA

Místo konání akce

Ostravice, CZECH REPUBLIC

Datum konání akce

16. 9. 2014

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

000366004300027