The Application of Sovereign Bond Spreads and the Development
of the Stock Market on GDP Prediction: The Case of Visegrad
Group

D 2017

The Application of Sovereign Bond Spreads and the Development of the Stock Market on GDP Prediction: The Case of Visegrad Group

HVOZDENSKÁ, Jana

Základní údaje

Originální název

The Application of Sovereign Bond Spreads and the Development of the Stock Market on GDP Prediction: The Case of Visegrad Group

Autoři

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

Vydání

Part 1. Brno, European Financial Systems 2017. Proceedings of the 14th International Scientific Conference, od s. 274-280, 7 s. 2017

Nakladatel

Masaryk University

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/00216224:14560/17:00098197

Organizační jednotka

Ekonomicko-správní fakulta

ISBN

978-80-210-8609-8

UT WoS

000418110700034

Klíčová slova anglicky

bonds; slope; spread; yield curve

Příznaky

Mezinárodní význam, Recenzováno

Změněno: 30. 1. 2018 15:13, Ing. Bc. Jana Hvozdenská, Ph.D.

Anotace

V originále

The yield curve – specifically the spread between the long term and the 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 one to six quarters ahead. 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. For better predictions it is good to use other overtaking indicators of economic activity as the development of the stock market. This paper aims to analyze the dependence between the slope of the yield curve, development of the stock market and an economic activity of selected countries between the years 2000 and 2016. The selected countries are the Czech Republic, Hungary, Poland and Slovakia. The natural and probably the most popular measure of economic growth is GDP growth, taken quarterly. We have found out that the bond spreads and stock market development might be used for predicting of the future economic activity, the best lags of bond spreads are 2, 4 or 5 quarters. 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/1039/2016, interní kód MU

Název: Modelování volatility na finančních trzích a její aplikace v oblasti řízení rizik a oceňování aktiv (Akronym: VOLATILITA)

Investor: Masarykova univerzita, Modelování volatility na finančních trzích a její aplikace v oblasti řízení rizik a oceňování aktiv, DO R. 2020_Kategorie A - Specifický výzkum - Studentské výzkumné projekty

Citovat

HVOZDENSKÁ, Jana. The Application of Sovereign Bond Spreads and the Development of the Stock Market on GDP Prediction: The Case of Visegrad Group. In European Financial Systems 2017. Proceedings of the 14th International Scientific Conference. Part 1. Brno: Masaryk University, 2017, s. 274-280. ISBN 978-80-210-8609-8.

@inproceedings{1394967,
   author = {Hvozdenská, Jana},
   address = {Brno},
   booktitle = {European Financial Systems 2017. Proceedings of the 14th International Scientific Conference},
   edition = {Part 1},
   keywords = {bonds; slope; spread; yield curve},
   howpublished = {tištěná verze "print"},
   language = {eng},
   location = {Brno},
   isbn = {978-80-210-8609-8},
   pages = {274-280},
   publisher = {Masaryk University},
   title = {The Application of Sovereign Bond Spreads and the Development of the Stock Market on GDP Prediction: The Case of Visegrad Group},
   url = {https://is.muni.cz/do/econ/sborniky/70896034/},
   year = {2017}
}

TY  - JOUR
ID  - 1394967
AU  - Hvozdenská, Jana
PY  - 2017
TI  - The Application of Sovereign Bond Spreads and the Development of the Stock Market on GDP Prediction: The Case of Visegrad Group
PB  - Masaryk University
CY  - Brno
SN  - 9788021086098
KW  - bonds
KW  - slope
KW  - spread
KW  - yield curve
UR  - https://is.muni.cz/do/econ/sborniky/70896034/
N2  - The yield curve – specifically the spread between the long term and the 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 one to six quarters ahead. 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. For better predictions it is good to use other overtaking indicators of economic activity as the development of the stock market. This paper aims to analyze the dependence between the slope of the yield curve, development of the stock market and an economic activity of selected countries between the years 2000 and 2016. The selected countries are the Czech Republic, Hungary, Poland and Slovakia. The natural and probably the most popular measure of economic growth is GDP growth, taken quarterly. We have found out that the bond spreads and stock market development might be used for predicting of the future economic activity, the best lags of bond spreads are 2, 4 or 5 quarters. 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 Application of Sovereign Bond Spreads and the Development of the Stock Market on GDP Prediction: The Case of Visegrad Group. In \textit{European Financial Systems 2017. Proceedings of the 14th International Scientific Conference}. Part 1. Brno: Masaryk University, 2017, s.~274-280. ISBN~978-80-210-8609-8.

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