The yield curve as a predictor of economic activity - the case of Germany, Great Britain and France
Identifikátory výsledku
Kód výsledku v IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F19%3A00111186" target="_blank" >RIV/00216224:14560/19:00111186 - isvavai.cz</a>
Výsledek na webu
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DOI - Digital Object Identifier
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Alternativní jazyky
Jazyk výsledku
čeština
Název v původním jazyce
The yield curve as a predictor of economic activity - the case of Germany, Great Britain and France
Popis výsledku v původním jazyce
In this paper we study the ability of the yield curve to predict GDP activity in Germany, France and Great Britain. The dataset contains the spread between 10-year and 3-month sovereign bonds and real GDP of the countries mentioned above between the years 2000 and 2018. The natural and probably the most popular measure of economic growth is GDP growth, taken quarterly. The steepness of the bond 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. The relationship between the spread and future GDP activity was proved already before. The results showed that the prediction of the GDP growth or decrease was proven after year 2008 (the financial crisis) in all mentioned countries, the predictive power of the yield curve was lowered before the year 2008. Certainly the simple yield curve growth forecast should not serve as a replacement for the complex predictive models, it does, however, provide enough information to serve as a useful check on the more sophisticated forecasts. The results showed that the best predictive lag is a lag of five quarters. The theory says that it should be lag of four quarters. The results presented also confirm that 10-year and 3-month yield spread has significant predictive power for real GDP growth after financial crisis. These findings provide further evidence of the potential usefulness of the yield curve spreads as indicators of the future economic activity. These findings might be beneficial for investors and provide further evidence of the potential usefulness of the yield curve spreads as indicators of the future economic activity.
Název v anglickém jazyce
The yield curve as a predictor of economic activity - the case of Germany, Great Britain and France
Popis výsledku anglicky
In this paper we study the ability of the yield curve to predict GDP activity in Germany, France and Great Britain. The dataset contains the spread between 10-year and 3-month sovereign bonds and real GDP of the countries mentioned above between the years 2000 and 2018. The natural and probably the most popular measure of economic growth is GDP growth, taken quarterly. The steepness of the bond 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. The relationship between the spread and future GDP activity was proved already before. The results showed that the prediction of the GDP growth or decrease was proven after year 2008 (the financial crisis) in all mentioned countries, the predictive power of the yield curve was lowered before the year 2008. Certainly the simple yield curve growth forecast should not serve as a replacement for the complex predictive models, it does, however, provide enough information to serve as a useful check on the more sophisticated forecasts. The results showed that the best predictive lag is a lag of five quarters. The theory says that it should be lag of four quarters. The results presented also confirm that 10-year and 3-month yield spread has significant predictive power for real GDP growth after financial crisis. These findings provide further evidence of the potential usefulness of the yield curve spreads as indicators of the future economic activity. These findings might be beneficial for investors and provide further evidence of the potential usefulness of the yield curve spreads as indicators of the future economic activity.
Klasifikace
Druh
D - Stať ve sborníku
CEP obor
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OECD FORD obor
50206 - Finance
Návaznosti výsledku
Projekt
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Návaznosti
N - Vyzkumna aktivita podporovana z neverejnych zdroju
Ostatní
Rok uplatnění
2019
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
European Financial Systems 2019. Proceedings of the 16th International Scientific Conference
ISBN
9788021093386
ISSN
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e-ISSN
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Počet stran výsledku
6
Strana od-do
178-183
Název nakladatele
Masaryk University
Místo vydání
Brno
Místo konání akce
Brno
Datum konání akce
1. 1. 2019
Typ akce podle státní příslušnosti
EUR - Evropská akce
Kód UT WoS článku
000503222600021