Does the Yield Curve Predict Future Economic Activity? The Case
of EU-28 and USA

D 2014

Does the Yield Curve Predict Future Economic Activity? The Case of EU-28 and USA

HVOZDENSKÁ, Jana

Základní údaje

Originální název

Does the Yield Curve Predict Future Economic Activity? The Case of EU-28 and USA

Autoři

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

Vydání

1st issue. Hradec Králové, Economic Development and Management of Regions. Peer-Reviewed Conference Procedings: The International Conference Hradec Economic Days 2014, od s. 213-219, 7 s. 2014

Nakladatel

Gaudeamus

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

tištěná verze "print"

Kód RIV

RIV/00216224:14560/14:00075035

Organizační jednotka

Ekonomicko-správní fakulta

ISBN

978-80-7435-369-7

UT WoS

000398250300028

Klíčová slova anglicky

yield curve – spread – GDP – slope – economic activity prediction

Příznaky

Mezinárodní význam, Recenzováno

Změněno: 19. 9. 2017 10:42, Mgr. Kateřina Oleksíková, Ph.D.

Anotace

V originále

In this paper the ability of the yield curve to predict GDP activity was examined in countries of EU-28 and United States of America. The dataset contains the spread between 10-year and 3-month sovereign bonds and real GDP of the countries between the years 2000 and 2013. The results showed that the prediction ability of the GDP growth or decrease was proven after year 2008 (the financial crisis) in Austria, Belgium, Czech Republic, Denmark, Finland, France, Germany, Ireland, Luxembourg, Malta, Slovakia, Sweden and United Kingdom. These findings can be beneficial for investors and provide further evidence of the potential usefulness of the yield curve spreads as indicators of the 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 Future Economic Activity? The Case of EU-28 and USA. In Pavel Jedlička. Economic Development and Management of Regions. Peer-Reviewed Conference Procedings: The International Conference Hradec Economic Days 2014. 1st issue. Hradec Králové: Gaudeamus, 2014, s. 213-219. ISBN 978-80-7435-369-7.

@inproceedings{1164966,
   author = {Hvozdenská, Jana},
   address = {Hradec Králové},
   booktitle = {Economic Development and Management of Regions. Peer-Reviewed Conference Procedings: The International Conference Hradec Economic Days 2014},
   edition = {1st issue},
   editor = {Pavel Jedlička},
   keywords = {yield curve – spread – GDP – slope – economic activity prediction},
   howpublished = {tištěná verze "print"},
   language = {eng},
   location = {Hradec Králové},
   isbn = {978-80-7435-369-7},
   pages = {213-219},
   publisher = {Gaudeamus},
   title = {Does the Yield Curve Predict Future Economic Activity? The Case of EU-28 and USA},
   year = {2014}
}

TY  - JOUR
ID  - 1164966
AU  - Hvozdenská, Jana
PY  - 2014
TI  - Does the Yield Curve Predict Future Economic Activity? The Case of EU-28 and USA
PB  - Gaudeamus
CY  - Hradec Králové
SN  - 9788074353697
KW  - yield curve – spread – GDP – slope – economic activity prediction
N2  - In this paper the ability of the yield curve to predict GDP activity was examined in countries of EU-28 and United States of America. The dataset contains the spread between 10-year and 3-month sovereign bonds and real GDP of the countries between the years 2000 and 2013. The results showed that the prediction ability of the GDP growth or decrease was proven after year 2008 (the financial crisis) in Austria, Belgium, Czech Republic, Denmark, Finland, France, Germany, Ireland, Luxembourg, Malta, Slovakia, Sweden and United Kingdom. These findings can be beneficial for investors and provide further evidence of the potential usefulness of the yield curve spreads as indicators of the future economic activity.
ER  -

HVOZDENSKÁ, Jana. Does the Yield Curve Predict Future Economic Activity? The Case of EU-28 and USA. In Pavel Jedlička. \textit{Economic Development and Management of Regions. Peer-Reviewed Conference Procedings: The International Conference Hradec Economic Days 2014}. 1st issue. Hradec Králové: Gaudeamus, 2014, s.~213-219. ISBN~978-80-7435-369-7.

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