The prediction of economic activity growth by sovereign bond
spreads in Scandinavia

D 2016

The prediction of economic activity growth by sovereign bond spreads in Scandinavia

HVOZDENSKÁ, Jana

Základní údaje

Originální název

The prediction of economic activity growth by sovereign bond spreads in Scandinavia

Autoři

HVOZDENSKÁ, Jana

Vydání

Karviná, Conference Proceedings of 14th International Scientific Conference Economic Policy in the European Union Member Countries, od s. 250-257, 8 s. 2016

Nakladatel

Silesian University in Opava, School of Business Administration in Karvina

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

elektronická verze "online"

Označené pro přenos do RIV

Ano

Kód RIV

RIV/00216224:14560/16:00091068

Organizační jednotka

Ekonomicko-správní fakulta

ISBN

978-80-7510-210-2

UT WoS

000403638200026

Klíčová slova anglicky

Bonds; Slope; Spread; Yield curve

Změněno: 30. 1. 2018 15:16, 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 analyse which spread is the most suitable for predicting of future economic growth in Scandinavia (Denmark, Finland, Norway and Sweden) 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 Denmark, Finland, Norway and Sweden are the spreads of 5-year and 3-month, 15-year and 1-year and 30-year and 3-month government bond yields which is in contradiction with the theory. 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 spreads in Scandinavia. Online. In I. Majerová, E. Kotlánová. Conference Proceedings of 14th International Scientific Conference Economic Policy in the European Union Member Countries. Karviná: Silesian University in Opava, School of Business Administration in Karvina, 2016, s. 250-257. ISBN 978-80-7510-210-2.

@inproceedings{1355911,
   author = {Hvozdenská, Jana},
   address = {Karviná},
   booktitle = {Conference Proceedings of 14th International Scientific Conference Economic Policy in the European Union Member Countries},
   editor = {I. Majerová, E. Kotlánová},
   keywords = {Bonds; Slope; Spread; Yield curve},
   howpublished = {elektronická verze "online"},
   language = {eng},
   location = {Karviná},
   isbn = {978-80-7510-210-2},
   pages = {250-257},
   publisher = {Silesian University in Opava, School of Business Administration in Karvina},
   title = {The prediction of economic activity growth by sovereign bond spreads in Scandinavia},
   year = {2016}
}

TY  - CONF
ID  - 1355911
AU  - Hvozdenská, Jana
PY  - 2016
TI  - The prediction of economic activity growth by sovereign bond spreads in Scandinavia
PB  - Silesian University in Opava, School of Business Administration in Karvina
CY  - Karviná
SN  - 9788075102102
KW  - Bonds
KW  - Slope
KW  - Spread
KW  - Yield curve
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 analyse which spread is the most suitable for predicting of future economic growth in Scandinavia (Denmark, Finland, Norway and Sweden) 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 Denmark, Finland, Norway and Sweden are the spreads of 5-year and 3-month, 15-year and 1-year and 30-year and 3-month government bond yields which is in contradiction with the theory. 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 spreads in Scandinavia. Online. In I. Majerová, E. Kotlánová. \textit{Conference Proceedings of 14th International Scientific Conference Economic Policy in the European Union Member Countries}. Karviná: Silesian University in Opava, School of Business Administration in Karvina, 2016, s.~250-257. ISBN~978-80-7510-210-2.

Přehled o publikaci