THE RELATIONSHIP OF BOND YIELD CURVES AND GROSS DOMESTIC
PRODUCT GROWTH IN SCANDINAVIA

D 2017

THE RELATIONSHIP OF BOND YIELD CURVES AND GROSS DOMESTIC PRODUCT GROWTH IN SCANDINAVIA

HVOZDENSKÁ, Jana

Základní údaje

Originální název

THE RELATIONSHIP OF BOND YIELD CURVES AND GROSS DOMESTIC PRODUCT GROWTH IN SCANDINAVIA

Autoři

HVOZDENSKÁ, Jana

Vydání

Volume III. Sofia, Bulgaria, Proceedings of 4th International Multidisciplinary Scientific Conference on Social Sciences and Arts SGEM 2017, od s. 735-742, 8 s. 2017

Nakladatel

SGEM International Multidisciplinary Scientific Conference on Social Sciences and Arts

Další údaje

Jazyk

angličtina

Typ výsledku

Stať ve sborníku

Obor

50600 5.6 Political science

Stát vydavatele

Bulharsko

Utajení

není předmětem státního či obchodního tajemství

Forma vydání

tištěná verze "print"

Organizační jednotka

Ekonomicko-správní fakulta

ISBN

978-619-7408-15-7

DOI

http://dx.doi.org/10.5593/sgemsocial2017/13

Klíčová slova anglicky

GDP prediction; yield curve; slope; spread

Příznaky

Mezinárodní význam, Recenzováno

Změněno: 12. 11. 2017 12:40, 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. This paper aims to analyse the dependence between slope of the yield curve and an economic activity of selected countries between the years 2000 and 2016. The slope of the yield curve can be measured as the yield spread between sovereign 10-year and 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 lags are lag of four and five quarters. The results presented also confirm that 10-year and 3-month yield spread has significant predictive power to 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.

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 RELATIONSHIP OF BOND YIELD CURVES AND GROSS DOMESTIC PRODUCT GROWTH IN SCANDINAVIA. In Proceedings of 4th International Multidisciplinary Scientific Conference on Social Sciences and Arts SGEM 2017. Volume III. Sofia, Bulgaria: SGEM International Multidisciplinary Scientific Conference on Social Sciences and Arts, 2017, s. 735-742. ISBN 978-619-7408-15-7. Dostupné z: https://dx.doi.org/10.5593/sgemsocial2017/13.

@inproceedings{1395159,
   author = {Hvozdenská, Jana},
   address = {Sofia, Bulgaria},
   booktitle = {Proceedings of 4th International Multidisciplinary Scientific Conference on Social Sciences and Arts SGEM 2017},
   doi = {http://dx.doi.org/10.5593/sgemsocial2017/13},
   edition = {Volume III},
   keywords = {GDP prediction; yield curve; slope; spread},
   howpublished = {tištěná verze "print"},
   language = {eng},
   location = {Sofia, Bulgaria},
   isbn = {978-619-7408-15-7},
   pages = {735-742},
   publisher = {SGEM International Multidisciplinary Scientific Conference on Social Sciences and Arts},
   title = {THE RELATIONSHIP OF BOND YIELD CURVES AND GROSS DOMESTIC PRODUCT GROWTH IN SCANDINAVIA},
   year = {2017}
}

TY  - JOUR
ID  - 1395159
AU  - Hvozdenská, Jana
PY  - 2017
TI  - THE RELATIONSHIP OF BOND YIELD CURVES AND GROSS DOMESTIC PRODUCT GROWTH IN SCANDINAVIA
PB  - SGEM International Multidisciplinary Scientific Conference on Social Sciences and Arts
CY  - Sofia, Bulgaria
SN  - 9786197408157
KW  - GDP prediction
KW  - yield curve
KW  - slope
KW  - spread
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. This paper aims to analyse the dependence between slope of the yield curve and an economic activity of selected countries between the years 2000 and 2016. The slope of the yield curve can be measured as the yield spread between sovereign 10-year and 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 lags are lag of four and five quarters. The results presented also confirm that 10-year and 3-month yield spread has significant predictive power to 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 RELATIONSHIP OF BOND YIELD CURVES AND GROSS DOMESTIC PRODUCT GROWTH IN SCANDINAVIA. In \textit{Proceedings of 4th International Multidisciplinary Scientific Conference on Social Sciences and Arts SGEM 2017}. Volume III. Sofia, Bulgaria: SGEM International Multidisciplinary Scientific Conference on Social Sciences and Arts, 2017, s.~735-742. ISBN~978-619-7408-15-7. Dostupné z: https://dx.doi.org/10.5593/sgemsocial2017/13.

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