| HVOZDENSKÁ, Jana. THE EMPLOYMENT OF GOVERNMENT BOND SPREADS IN PREDICTION OF ECONOMIC ACTIVITY IN EU-15. In Tvrdon, M Majerova, I. PROCEEDINGS OF 12TH INTERNATIONAL SCIENTIFIC CONFERENCE: ECONOMIC POLICY IN THE EUROPEAN UNION MEMBER COUNTRIES, PTS I AND II. KARVINA: SILESIAN UNIV OPAVA, SCHOOL BUSINESS ADMINISTRATION KARVINA, 2015, p. 253-260. ISBN 978-80-7510-114-3. |
Other formats:
BibTeX
LaTeX
RIS
@inproceedings{1323988,
author = {Hvozdenská, Jana},
address = {KARVINA},
booktitle = {PROCEEDINGS OF 12TH INTERNATIONAL SCIENTIFIC CONFERENCE: ECONOMIC POLICY IN THE EUROPEAN UNION MEMBER COUNTRIES, PTS I AND II},
editor = {Tvrdon, M Majerova, I},
keywords = {GDP Prediction; Yield Curve; Slope; Spread},
howpublished = {tištěná verze "print"},
language = {eng},
location = {KARVINA},
isbn = {978-80-7510-114-3},
pages = {253-260},
publisher = {SILESIAN UNIV OPAVA, SCHOOL BUSINESS ADMINISTRATION KARVINA},
title = {THE EMPLOYMENT OF GOVERNMENT BOND SPREADS IN PREDICTION OF ECONOMIC ACTIVITY IN EU-15},
year = {2015}
}
TY - JOUR
ID - 1323988
AU - Hvozdenská, Jana
PY - 2015
TI - THE EMPLOYMENT OF GOVERNMENT BOND SPREADS IN PREDICTION OF ECONOMIC ACTIVITY IN EU-15
PB - SILESIAN UNIV OPAVA, SCHOOL BUSINESS ADMINISTRATION KARVINA
CY - KARVINA
SN - 9788075101143
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 EU-15 between the years 2000 and 2013. 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 best predictive lag of spread is a lag of four and five quarters. The theory says that it should be lag of four quarters. The results presented also confirm that 10-year and 3-month yield spread has significant predictive power for 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 EMPLOYMENT OF GOVERNMENT BOND SPREADS IN PREDICTION OF ECONOMIC ACTIVITY IN EU-15. In Tvrdon, M Majerova, I. \textit{PROCEEDINGS OF 12TH INTERNATIONAL SCIENTIFIC CONFERENCE: ECONOMIC POLICY IN THE EUROPEAN UNION MEMBER COUNTRIES, PTS I AND II}. KARVINA: SILESIAN UNIV OPAVA, SCHOOL BUSINESS ADMINISTRATION KARVINA, 2015, p.~253-260. ISBN~978-80-7510-114-3.
|
