The prediction of economic activity growth by sovereign bond
spread in France, Germany and Great Britain

D 2016

The prediction of economic activity growth by sovereign bond spread in France, Germany and Great Britain

HVOZDENSKÁ, Jana

Základní údaje

Originální název

The prediction of economic activity growth by sovereign bond spread in France, Germany and Great Britain

Autoři

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

Vydání

Brno, European Financial Systems 2016. Proceedings of the 13th International Scientific Conference, od s. 256-261, 6 s. 2016

Nakladatel

Masarykova univerzita

Další údaje

Jazyk

angličtina

Typ výsledku

Stať ve sborníku

Obor

50600 5.6 Political science

Stát vydavatele

Česká republika

Utajení

není předmětem státního či obchodního tajemství

Forma vydání

tištěná verze "print"

Odkazy

URL

Kód RIV

RIV/00216224:14560/16:00091067

Organizační jednotka

Ekonomicko-správní fakulta

ISBN

978-80-210-8308-0

UT WoS

000385692200033

Klíčová slova anglicky

Bonds; Slope; Spread; Yield curve

Příznaky

Mezinárodní význam, Recenzováno

Změněno: 10. 11. 2016 17:27, Ing. Bc. Jana Hvozdenská, Ph.D.

Anotace

V originále

The steepness of the bond 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 down real growth the near term. The relationship between the spread and future GDP activity was proved already before. One question remains – which spread is the best for the future prediction? Is it the spread between sovereign 10-year bonds and 3-month bonds or 30-year and 1- year or 10-year and 1-year sovereign bonds? This paper aims to analyze which spread is the most suitable for predicting of future economic growth in France, Germany and Great Britain between the years 2000 and 2016. The natural and probably the most popular measure of economic growth is GDP growth, taken quarterly. We have found out that the best predictive spreads in France, Germany and Great Britain are the spreads of 30-year and 1-year and 10-year and 1-year government bond yields. These findings might 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/1025/2015, interní kód MU

Název: Hrozby a výzvy prostředí přetrvávajících nízkých úrokových sazeb pro vývoj a stabilitu finančního systému (Akronym: FinStabilita)

Investor: Masarykova univerzita, Hrozby a výzvy prostředí přetrvávajících nízkých úrokových sazeb pro vývoj a stabilitu finančního systému, DO R. 2020_Kategorie A - Specifický výzkum - Studentské výzkumné projekty

Citovat

HVOZDENSKÁ, Jana. The prediction of economic activity growth by sovereign bond spread in France, Germany and Great Britain. In Krajíček J., Nešleha J., Urbanovský K. European Financial Systems 2016. Proceedings of the 13th International Scientific Conference. Brno: Masarykova univerzita, 2016, s. 256-261. ISBN 978-80-210-8308-0.

@inproceedings{1355905,
   author = {Hvozdenská, Jana},
   address = {Brno},
   booktitle = {European Financial Systems 2016. Proceedings of the 13th International Scientific Conference},
   editor = {Krajíček J., Nešleha J., Urbanovský K.},
   keywords = {Bonds; Slope; Spread; Yield curve},
   howpublished = {tištěná verze "print"},
   language = {eng},
   location = {Brno},
   isbn = {978-80-210-8308-0},
   pages = {256-261},
   publisher = {Masarykova univerzita},
   title = {The prediction of economic activity growth by sovereign bond spread in France, Germany and Great Britain},
   url = {http://is.muni.cz/do/econ/sborniky/2016/EFS2016-Proceedings_final_September_19_final.pdf},
   year = {2016}
}

TY  - JOUR
ID  - 1355905
AU  - Hvozdenská, Jana
PY  - 2016
TI  - The prediction of economic activity growth by sovereign bond spread in France, Germany and Great Britain
PB  - Masarykova univerzita
CY  - Brno
SN  - 9788021083080
KW  - Bonds
KW  - Slope
KW  - Spread
KW  - Yield curve
UR  - http://is.muni.cz/do/econ/sborniky/2016/EFS2016-Proceedings_final_September_19_final.pdf
N2  - The steepness of the bond 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 down real growth the near term. The relationship between the spread and future GDP activity was proved already before. One question remains – which spread is the best for the future prediction? Is it the spread between sovereign 10-year bonds and 3-month bonds or 30-year and 1- year or 10-year and 1-year sovereign bonds? This paper aims to analyze which spread is the most suitable for predicting of future economic growth in France, Germany and Great Britain between the years 2000 and 2016. The natural and probably the most popular measure of economic growth is GDP growth, taken quarterly. We have found out that the best predictive spreads in France, Germany and Great Britain are the spreads of 30-year and 1-year and 10-year and 1-year government bond yields. These findings might 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 prediction of economic activity growth by sovereign bond spread in France, Germany and Great Britain. In Krajíček J., Nešleha J., Urbanovský K. \textit{European Financial Systems 2016. Proceedings of the 13th International Scientific Conference}. Brno: Masarykova univerzita, 2016, s.~256-261. ISBN~978-80-210-8308-0.

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