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Statements

Subject Item
n2:RIV%2F00216224%3A14560%2F14%3A00076114%21RIV15-MSM-14560___
rdf:type
skos:Concept n12:Vysledek
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. The steepness of the 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. This paper aims to analyze the dependence between slope of the yield curve and an economic activity of France, Germany and Great Britain between the years 2000 and 2013. The slope of the yield curve can be measured as the yield spread between sovereign 10-year bonds and sovereign 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 lag is a lag of five quarters. The theory says that it should be lag of four quarters. 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. The steepness of the 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. This paper aims to analyze the dependence between slope of the yield curve and an economic activity of France, Germany and Great Britain between the years 2000 and 2013. The slope of the yield curve can be measured as the yield spread between sovereign 10-year bonds and sovereign 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 lag is a lag of five quarters. The theory says that it should be lag of four quarters. 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. The steepness of the 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. This paper aims to analyze the dependence between slope of the yield curve and an economic activity of France, Germany and Great Britain between the years 2000 and 2013. The slope of the yield curve can be measured as the yield spread between sovereign 10-year bonds and sovereign 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 lag is a lag of five quarters. The theory says that it should be lag of four quarters.
dcterms:title
The application of sovereign bond spreads: The case of France, Germany and Great Britain The application of sovereign bond spreads: The case of France, Germany and Great Britain The application of sovereign bond spreads: The case of France, Germany and Great Britain
skos:prefLabel
The application of sovereign bond spreads: The case of France, Germany and Great Britain The application of sovereign bond spreads: The case of France, Germany and Great Britain The application of sovereign bond spreads: The case of France, Germany and Great Britain
skos:notation
RIV/00216224:14560/14:00076114!RIV15-MSM-14560___
n3:aktivita
n9:S
n3:aktivity
S
n3:dodaniDat
n19:2015
n3:domaciTvurceVysledku
n8:7739524 n8:3176681
n3:druhVysledku
n7:D
n3:duvernostUdaju
n15:S
n3:entitaPredkladatele
n18:predkladatel
n3:idSjednocenehoVysledku
3830
n3:idVysledku
RIV/00216224:14560/14:00076114
n3:jazykVysledku
n4:cze
n3:klicovaSlova
GDP prediction; yield curve; slope; spread
n3:klicoveSlovo
n10:yield%20curve n10:slope n10:GDP%20prediction n10:spread
n3:kontrolniKodProRIV
[5654C8C3EB04]
n3:mistoKonaniAkce
Olomouc
n3:mistoVydani
Olomouc
n3:nazevZdroje
Proceedings of the 32nd International Conference Mathematical Methods in Economics 2014
n3:obor
n14:AH
n3:pocetDomacichTvurcuVysledku
2
n3:pocetTvurcuVysledku
2
n3:rokUplatneniVysledku
n19:2014
n3:tvurceVysledku
Hvozdenská, Jana Kajurová, Veronika
n3:typAkce
n16:EUR
n3:zahajeniAkce
2014-01-01+01:00
s:numberOfPages
5
n20:hasPublisher
Palacký University, Faculty of Science
n17:isbn
9788024442099
n11:organizacniJednotka
14560