THE EMPLOYMENT OF GOVERNMENT BOND SPREADS IN PREDICTION OF ECONOMIC ACTIVITY IN EU-15
Identifikátory výsledku
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
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DOI - Digital Object Identifier
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Alternativní jazyky
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.
Klasifikace
Druh
D - Stať ve sborníku
CEP obor
AE - Řízení, správa a administrativa
OECD FORD obor
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Návaznosti výsledku
Projekt
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Návaznosti
S - Specificky vyzkum na vysokych skolach
Ostatní
Rok uplatnění
2015
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 12TH INTERNATIONAL SCIENTIFIC CONFERENCE: ECONOMIC POLICY IN THE EUROPEAN UNION MEMBER COUNTRIES, PTS I AND II
ISBN
9788075101143
ISSN
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e-ISSN
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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