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Statements

Subject Item
n2:RIV%2F00216224%3A14560%2F14%3A00075771%21RIV15-MSM-14560___
rdf:type
n15:Vysledek skos:Concept
dcterms:description
The yield curve – specifically the spread between long term and 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 two to six quarters ahead. 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 2013. 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 differ in each country and each time span we chose. The most common lags of spreads are lag four, five and six quarters. The results presented confirm that 10-year and 3-month yield spread has significant predictive power for real GDP growth. The yield curve – specifically the spread between long term and 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 two to six quarters ahead. 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 2013. 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 differ in each country and each time span we chose. The most common lags of spreads are lag four, five and six quarters. The results presented confirm that 10-year and 3-month yield spread has significant predictive power for real GDP growth.
dcterms:title
The Application of Sovereign Bond Spreads (The Case of Finland, Iceland, Norway, Sweden, Switzerland and Russia) The Application of Sovereign Bond Spreads (The Case of Finland, Iceland, Norway, Sweden, Switzerland and Russia)
skos:prefLabel
The Application of Sovereign Bond Spreads (The Case of Finland, Iceland, Norway, Sweden, Switzerland and Russia) The Application of Sovereign Bond Spreads (The Case of Finland, Iceland, Norway, Sweden, Switzerland and Russia)
skos:notation
RIV/00216224:14560/14:00075771!RIV15-MSM-14560___
n3:aktivita
n4:S
n3:aktivity
S
n3:dodaniDat
n5:2015
n3:domaciTvurceVysledku
n19:7739524
n3:druhVysledku
n12:D
n3:duvernostUdaju
n18:S
n3:entitaPredkladatele
n9:predkladatel
n3:idSjednocenehoVysledku
3829
n3:idVysledku
RIV/00216224:14560/14:00075771
n3:jazykVysledku
n11:eng
n3:klicovaSlova
GDP prediction; yield curve; slope; spread
n3:klicoveSlovo
n6:yield%20curve n6:GDP%20prediction n6:spread n6:slope
n3:kontrolniKodProRIV
[63D432EE7AD1]
n3:mistoKonaniAkce
Tallinn
n3:mistoVydani
Tallinn
n3:nazevZdroje
6th International Conference %22Economic Challenges in Enlarged Europe%22 - Conference Proceedings
n3:obor
n10:AH
n3:pocetDomacichTvurcuVysledku
1
n3:pocetTvurcuVysledku
1
n3:rokUplatneniVysledku
n5:2014
n3:tvurceVysledku
Hvozdenská, Jana
n3:typAkce
n17:WRD
n3:zahajeniAkce
2014-01-01+01:00
s:issn
2382-6797
s:numberOfPages
11
n16:hasPublisher
Tallinn University of Technology
n14:organizacniJednotka
14560