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@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 - JOUR
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, p.~250-257. ISBN~978-80-7510-210-2.
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