The yield curve as a predictor of economic activity – the case
of EU-15

D 2014

The yield curve as a predictor of economic activity – the case of EU-15

HVOZDENSKÁ, Jana

Základní údaje

Originální název

The yield curve as a predictor of economic activity – the case of EU-15

Autoři

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

Vydání

Karviná, Financial Regulation and Supervision in the After - Crisis Period. Proceedings of 14th International Conference on Finance and Banking, od s. 131 - 139, 9 s. 2014

Nakladatel

Silesian University

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/00216224:14560/14:00075858

Organizační jednotka

Ekonomicko-správní fakulta

ISBN

978-80-7248-939-8

UT WoS

000345575000016

Klíčová slova anglicky

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

Příznaky

Mezinárodní význam, Recenzováno

Změněno: 12. 1. 2015 21:34, Ing. Bc. Jana Hvozdenská, Ph.D.

Anotace

V originále

In this paper the ability of the yield curve to predict GDP activity was examined in the countries of EU-15 – Austria, Belgium, Denmark, Finland, France, Germany, Greece, Ireland, Italy, Luxemburg, the Netherlands, Portugal, Spain, Sweden and United Kingdom. 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 2013. The results showed that the prediction ability of the GDP growth or decrease was proven after year 2008 (the financial crisis) in Austria, Denmark, Finland, France, Germany, Ireland, Sweden 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/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. The yield curve as a predictor of economic activity – the case of EU-15. In Daniel Stavárek and Pavla Vodová. Financial Regulation and Supervision in the After - Crisis Period. Proceedings of 14th International Conference on Finance and Banking. Karviná: Silesian University, 2014, s. 131 - 139. ISBN 978-80-7248-939-8.

@inproceedings{1187395,
   author = {Hvozdenská, Jana},
   address = {Karviná},
   booktitle = {Financial Regulation and Supervision in the After - Crisis Period. Proceedings of 14th International Conference on Finance and Banking},
   editor = {Daniel Stavárek and Pavla Vodová},
   keywords = {yield curve; spread; GDP; slope; economic activity prediction},
   howpublished = {tištěná verze "print"},
   language = {eng},
   location = {Karviná},
   isbn = {978-80-7248-939-8},
   pages = {131 - 139},
   publisher = {Silesian University},
   title = {The yield curve as a predictor of economic activity – the case of EU-15},
   year = {2014}
}

TY  - CONF
ID  - 1187395
AU  - Hvozdenská, Jana
PY  - 2014
TI  - The yield curve as a predictor of economic activity – the case of EU-15
PB  - Silesian University
CY  - Karviná
SN  - 9788072489398
KW  - yield curve
KW  - spread
KW  - GDP
KW  - slope
KW  - economic activity prediction
N2  - In this paper the ability of the yield curve to predict GDP activity was examined in the countries of EU-15 – Austria, Belgium, Denmark, Finland, France, Germany, Greece, Ireland, Italy, Luxemburg, the Netherlands, Portugal, Spain, Sweden and United Kingdom. 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 2013. The results showed that the prediction ability of the GDP growth or decrease was proven after year 2008 (the financial crisis) in Austria, Denmark, Finland, France, Germany, Ireland, Sweden 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 yield curve as a predictor of economic activity – the case of EU-15. In Daniel Stavárek and Pavla Vodová. \textit{Financial Regulation and Supervision in the After - Crisis Period. Proceedings of 14th International Conference on Finance and Banking}. Karviná: Silesian University, 2014, s.~131 - 139. ISBN~978-80-7248-939-8.

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