Does the yield curve predict the future economic activity? The
case of EU-25

D 2013

Does the yield curve predict the future economic activity? The case of EU-25

HVOZDENSKÁ, Jana

Základní údaje

Originální název

Does the yield curve predict the future economic activity? The case of EU-25

Autoři

HVOZDENSKÁ, Jana (203 Česká republika, garant, domácí)

Vydání

Vol. IV. Hradec Králové, Conference Proceedings: 4th International Masaryk Conference for Ph.D. Students and Young Researchers 2013. od s. 1635-1644, 10 s. 2013

Nakladatel

MAGNANIMITAS

Další údaje

Jazyk

angličtina

Typ výsledku

Stať ve sborníku

Obor

50200 5.2 Economics and Business

Stát vydavatele

Česká republika

Utajení

není předmětem státního či obchodního tajemství

Forma vydání

paměťový nosič (CD, DVD, flash disk)

Kód RIV

RIV/00216224:14560/13:00070600

Organizační jednotka

Ekonomicko-správní fakulta

ISBN

978-80-87952-00-9

Klíčová slova anglicky

prediction of economic activity slope yield curve GDP spread

Příznaky

Mezinárodní význam, Recenzováno

Změněno: 19. 1. 2014 19:33, Ing. Bc. Jana Hvozdenská, Ph.D.

Anotace

V originále

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 the dependence between slope of the yield curve and an economic activity in EU-25 between the years 2000 and 2013. The slope of the yield curve can be measured as the yield spread between 10-year bonds and 3-month bonds. The natural and probably the most popular measure of growth is by GDP growth, taken quarterly. The results can be beneficial for investors as a possible indicator of future economic activity.

Návaznosti

MUNI/A/0753/2012, interní kód MU

Název: Evropské finanční systémy 2013 (Akronym: EFS)

Investor: Masarykova univerzita, Evropské finanční systémy 2013, DO R. 2020_Kategorie A - Specifický výzkum - Studentské výzkumné projekty

Citovat

HVOZDENSKÁ, Jana. Does the yield curve predict the future economic activity? The case of EU-25. In Conference Proceedings: 4th International Masaryk Conference for Ph.D. Students and Young Researchers 2013. Vol. IV. Hradec Králové: MAGNANIMITAS, 2013, s. 1635-1644. ISBN 978-80-87952-00-9.

@inproceedings{1137460,
   author = {Hvozdenská, Jana},
   address = {Hradec Králové},
   booktitle = {Conference Proceedings: 4th International Masaryk Conference for Ph.D. Students and Young Researchers 2013.},
   edition = {Vol. IV},
   keywords = {prediction of economic activity slope yield curve GDP spread},
   howpublished = {paměťový nosič},
   language = {eng},
   location = {Hradec Králové},
   isbn = {978-80-87952-00-9},
   pages = {1635-1644},
   publisher = {MAGNANIMITAS},
   title = {Does the yield curve predict the future economic activity? The case of EU-25},
   year = {2013}
}

TY  - JOUR
ID  - 1137460
AU  - Hvozdenská, Jana
PY  - 2013
TI  - Does the yield curve predict the future economic activity? The case of EU-25
PB  - MAGNANIMITAS
CY  - Hradec Králové
SN  - 9788087952009
KW  - prediction of economic activity slope yield curve GDP spread
N2  - 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 the dependence between slope of the yield curve and an economic activity in EU-25 between the years 2000 and 2013. The slope of the yield curve can be measured as the yield spread between 10-year bonds and 3-month bonds. The natural and probably the most popular measure of growth is by GDP growth, taken quarterly. The results can be beneficial for investors as a possible indicator of future economic activity.
ER  -

HVOZDENSKÁ, Jana. Does the yield curve predict the future economic activity? The case of EU-25. In \textit{Conference Proceedings: 4th International Masaryk Conference for Ph.D. Students and Young Researchers 2013.}. Vol. IV. Hradec Králové: MAGNANIMITAS, 2013, s.~1635-1644. ISBN~978-80-87952-00-9.

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