The yield curve as a predictor of gross domestic product growth
in Nordic countries

D 2015

The yield curve as a predictor of gross domestic product growth in Nordic countries

HVOZDENSKÁ, Jana

Základní údaje

Originální název

The yield curve as a predictor of gross domestic product growth in Nordic countries

Autoři

HVOZDENSKÁ, Jana

Vydání

26. vyd. Amsterdam, Procedia Economics and Finance. 4th World Conference on Business, Economics and Management (WCBEM-2015), od s. 438-445, 8 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

elektronická verze "online"

Odkazy

URL

Označené pro přenos do RIV

Ano

Kód RIV

RIV/00216224:14560/15:00089127

Organizační jednotka

Ekonomicko-správní fakulta

ISSN

DOI

https://doi.org/10.1016/S2212-5671(15)00871-0

UT WoS

000381990300066

Klíčová slova anglicky

GDP prediction; yield curve; slope; spread

Příznaky

Mezinárodní význam, Recenzováno

Změněno: 20. 3. 2017 11:18, Mgr. Daniela Marcollová

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. This paper aims to analyse the dependence between slope of the yield curve and an economic activity of selected countries between the years 2000 and 2013. The slope of the yield curve can be measured as the yield spread between sovereign 10-year and 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 best predictive lags are lag of four and five quarters. The results presented also confirm that 10-year and 3-month yield spread has significant predictive power to real GDP growth after financial crisis. 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/1127/2014, interní kód MU

Název: Analýza, tvorba a testování modelů oceňování finančních, zajišťovacích a investičních aktiv a jejich využití k predikci vzniku finančních krizí

Investor: Masarykova univerzita, Analýza, tvorba a testování modelů oceňování finančních, zajišťovacích a investičních aktiv a jejich využití k predikci vzniku finančních krizí, DO R. 2020_Kategorie A - Specifický výzkum - Studentské výzkumné projekty

Citovat

HVOZDENSKÁ, Jana. The yield curve as a predictor of gross domestic product growth in Nordic countries. Online. In Çetin Bektaş. Procedia Economics and Finance. 4th World Conference on Business, Economics and Management (WCBEM-2015). 26. vyd. Amsterdam: Elsevier Ltd., 2015, s. 438-445. ISSN 2212-5671. Dostupné z: https://doi.org/10.1016/S2212-5671(15)00871-0.

@inproceedings{1314050,
   author = {Hvozdenská, Jana},
   address = {Amsterdam},
   booktitle = {Procedia Economics and Finance. 4th World Conference on Business, Economics and Management (WCBEM-2015)},
   doi = {https://doi.org/10.1016/S2212-5671(15)00871-0},
   edition = {26},
   editor = {Çetin Bektaş},
   keywords = {GDP prediction; yield curve; slope; spread},
   howpublished = {elektronická verze "online"},
   language = {eng},
   location = {Amsterdam},
   pages = {438-445},
   publisher = {Elsevier Ltd.},
   title = {The yield curve as a predictor of gross domestic product growth in Nordic countries},
   url = {http://www.sciencedirect.com/science/article/pii/S2212567115008710},
   year = {2015}
}

TY  - CONF
ID  - 1314050
AU  - Hvozdenská, Jana
PY  - 2015
TI  - The yield curve as a predictor of gross domestic product growth in Nordic countries
PB  - Elsevier Ltd.
CY  - Amsterdam
KW  - GDP prediction
KW  - yield curve
KW  - slope
KW  - spread
UR  - http://www.sciencedirect.com/science/article/pii/S2212567115008710
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. This paper aims to analyse the dependence between slope of the yield curve and an economic activity of selected countries between the years 2000 and 2013. The slope of the yield curve can be measured as the yield spread between sovereign 10-year and 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 best predictive lags are lag of four and five quarters. The results presented also confirm that 10-year and 3-month yield spread has significant predictive power to real GDP growth after financial crisis. 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 gross domestic product growth in Nordic countries. Online. In \c Cetin Bekta\c s. \textit{Procedia Economics and Finance. 4th World Conference on Business, Economics and Management (WCBEM-2015)}. 26. vyd. Amsterdam: Elsevier Ltd., 2015, s.~438-445. ISSN~2212-5671. Dostupné z: https://doi.org/10.1016/S2212-5671(15)00871-0.

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