HVOZDENSKÁ, Jana and Veronika KAJUROVÁ. The yield curve as a predictor of economic activity – the case of the Visegrad group. In Oleg Deev, Veronika Kajurová, Jan Krajíček. European Financial Systems 2013. Proceedings of the 10th International Scientific Conference. Brno: Masaryk University, 2013. p. 134-139. ISBN 978-80-210-6294-8.
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Basic information
Original name The yield curve as a predictor of economic activity – the case of the Visegrad group
Authors HVOZDENSKÁ, Jana (203 Czech Republic, guarantor, belonging to the institution) and Veronika KAJUROVÁ (203 Czech Republic, belonging to the institution).
Edition Brno, European Financial Systems 2013. Proceedings of the 10th International Scientific Conference, p. 134-139, 6 pp. 2013.
Publisher Masaryk University
Other information
Original language English
Type of outcome Proceedings paper
Field of Study 50200 5.2 Economics and Business
Country of publisher Czech Republic
Confidentiality degree is not subject to a state or trade secret
Publication form printed version "print"
RIV identification code RIV/00216224:14560/13:00069275
Organization unit Faculty of Economics and Administration
ISBN 978-80-210-6294-8
UT WoS 000324654400018
Keywords in English yield curve; slope; Visegrad; GDP; spread
Tags International impact, Reviewed
Changed by Changed by: Ing. Veronika Kajurová, Ph.D., učo 390048. Changed: 1/11/2013 15:37.
Abstract
In this paper we study the ability of the yield curve to predict GDP activity in four countries of the Visegrad group – Czech Republic, Slovakia, Poland and Hungary. The dataset contains the spread between 10-year and 3-month sovereign bonds and real GDP of the countries mentioned above between the years 2002 and 2012. The results showed that the prediction of the GDP growth or decrease was proven after year 2008 (the financial crisis) in the Czech Republic, Slovakia and Hungary, the predictive power of the yield curve was lowered in those countries 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. These findings provide further evidence of the potential usefulness of the yield curve spreads as indicators of the future economic activity.
Links
MUNI/A/0753/2012, interní kód MUName: Evropské finanční systémy 2013 (Acronym: EFS)
Investor: Masaryk University, Category A
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