The Application of Sovereign Bond Spreads: The Case of United
Kingdom, Iceland, Norway, Switzerland and Russia

D 2015

The Application of Sovereign Bond Spreads: The Case of United Kingdom, Iceland, Norway, Switzerland and Russia

HVOZDENSKÁ, Jana

Základní údaje

Originální název

The Application of Sovereign Bond Spreads: The Case of United Kingdom, Iceland, Norway, Switzerland and Russia

Autoři

HVOZDENSKÁ, Jana

Vydání

23. vyd. Amsterdam, Procedia Economics and Finance. 2nd Global Conference on Business, Economics and Management and Tourism (BEMTUR), od s. 1227-1232, 6 s. 2015

Nakladatel

Elsevier Ltd.

Další údaje

Jazyk

angličtina

Typ výsledku

Stať ve sborníku

Obor

50600 5.6 Political science

Stát vydavatele

Nizozemské království

Utajení

není předmětem státního či obchodního tajemství

Forma vydání

tištěná verze "print"

Označené pro přenos do RIV

Ano

Kód RIV

RIV/00216224:14560/15:00082043

Organizační jednotka

Ekonomicko-správní fakulta

ISSN

DOI

https://doi.org/10.1016/S2212-5671(15)00476-1

UT WoS

000360103600185

Klíčová slova anglicky

GDP prediction; yield curve; slope; spread

Příznaky

Mezinárodní význam, Recenzováno

Změněno: 21. 9. 2015 18:34, 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 of United Kingdom, Iceland, Norway, Switzerland and Russia between the years 2000 and 2013. This time period was divided on two samples in order to prove the change of predictive power of the model. The slope of the yield curve can be measured as the yield spread between sovereign 10-year bonds and sovereign 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 prediction ability of the GDP growth or decrease was proven after year 2008 (financial crisis) in Iceland, Russia and United Kingdom. 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 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/0786/2013, interní kód MU

Název: Analýza a predikce vývoje cen finančních a investičních nástrojů

Investor: Masarykova univerzita, Analýza a predikce vývoje cen finančních a investičních nástrojů, DO R. 2020_Kategorie A - Specifický výzkum - Studentské výzkumné projekty

Citovat

HVOZDENSKÁ, Jana. The Application of Sovereign Bond Spreads: The Case of United Kingdom, Iceland, Norway, Switzerland and Russia. In Iacob, AI. Procedia Economics and Finance. 2nd Global Conference on Business, Economics and Management and Tourism (BEMTUR). 23. vyd. Amsterdam: Elsevier Ltd., 2015, s. 1227-1232. ISSN 2212-5671. Dostupné z: https://doi.org/10.1016/S2212-5671(15)00476-1.

@inproceedings{1186487,
   author = {Hvozdenská, Jana},
   address = {Amsterdam},
   booktitle = {Procedia Economics and Finance. 2nd Global Conference on Business, Economics and Management and Tourism (BEMTUR)},
   doi = {https://doi.org/10.1016/S2212-5671(15)00476-1},
   edition = {23},
   editor = {Iacob, AI},
   keywords = {GDP prediction; yield curve; slope; spread},
   howpublished = {tištěná verze "print"},
   language = {eng},
   location = {Amsterdam},
   pages = {1227-1232},
   publisher = {Elsevier Ltd.},
   title = {The Application of Sovereign Bond Spreads: The Case of United Kingdom, Iceland, Norway, Switzerland and Russia},
   year = {2015}
}

TY  - CONF
ID  - 1186487
AU  - Hvozdenská, Jana
PY  - 2015
TI  - The Application of Sovereign Bond Spreads: The Case of United Kingdom, Iceland, Norway, Switzerland and Russia
PB  - Elsevier Ltd.
CY  - Amsterdam
KW  - GDP prediction
KW  - yield curve
KW  - slope
KW  - 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 of United Kingdom, Iceland, Norway, Switzerland and Russia between the years 2000 and 2013. This time period was divided on two samples in order to prove the change of predictive power of the model. The slope of the yield curve can be measured as the yield spread between sovereign 10-year bonds and sovereign 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 prediction ability of the GDP growth or decrease was proven after year 2008 (financial crisis) in Iceland, Russia and United Kingdom. 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 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. The Application of Sovereign Bond Spreads: The Case of United Kingdom, Iceland, Norway, Switzerland and Russia. In Iacob, AI. \textit{Procedia Economics and Finance. 2nd Global Conference on Business, Economics and Management and Tourism (BEMTUR)}. 23. vyd. Amsterdam: Elsevier Ltd., 2015, s.~1227-1232. ISSN~2212-5671. Dostupné z: https://doi.org/10.1016/S2212-5671(15)00476-1.

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