The yield curve as a predictor of gross domestic product growth in Nordic countries
Identifikátory výsledku
Kód výsledku v IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F15%3A00089127" target="_blank" >RIV/00216224:14560/15:00089127 - isvavai.cz</a>
Výsledek na webu
<a href="http://dx.doi.org/10.1016/S2212-5671(15)00871-0" target="_blank" >http://dx.doi.org/10.1016/S2212-5671(15)00871-0</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/S2212-5671(15)00871-0" target="_blank" >10.1016/S2212-5671(15)00871-0</a>
Alternativní jazyky
Jazyk výsledku
angličtina
Název v původním jazyce
The yield curve as a predictor of gross domestic product growth in Nordic 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. This paper aims to analyse the dependence between slope of the yield curve and an economic activity of selected countries between the years 2000 and 2013. The slope of the yield curve can be measured as the yield spread between sovereign 10-year and 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 are lag of four and five quarters. The results presented also confirm that 10-year and 3-month yield spread has significant predictive power to real GDP growth after financial crisis.
Název v anglickém jazyce
The yield curve as a predictor of gross domestic product growth in Nordic 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. This paper aims to analyse the dependence between slope of the yield curve and an economic activity of selected countries between the years 2000 and 2013. The slope of the yield curve can be measured as the yield spread between sovereign 10-year and 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 are lag of four and five quarters. The results presented also confirm that 10-year and 3-month yield spread has significant predictive power to real GDP growth after financial crisis.
Klasifikace
Druh
D - Stať ve sborníku
CEP obor
AE - Řízení, správa a administrativa
OECD FORD obor
—
Návaznosti výsledku
Projekt
—
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
Procedia Economics and Finance. 4th World Conference on Business, Economics and Management (WCBEM-2015)
ISBN
—
ISSN
2212-5671
e-ISSN
—
Počet stran výsledku
8
Strana od-do
438-445
Název nakladatele
Elsevier Ltd.
Místo vydání
Amsterdam
Místo konání akce
Turkey
Datum konání akce
1. 1. 2015
Typ akce podle státní příslušnosti
EUR - Evropská akce
Kód UT WoS článku
000381990300066