The yield curve as a predictor of economic activity – the case of EU-15
| Autoři | |
|---|---|
| Rok publikování | 2013 |
| Druh | Článek ve sborníku |
| Konference | Financial Regulation and Supervision in the After - Crisis Period. Proceedings of 14th International Conference on Finance and Banking |
| Fakulta / Pracoviště MU | |
| Citace | |
| Obor | Ekonomie |
| Klíčová slova | yield curve spread GDP slope economic activity prediction |
| Popis | In this paper the ability of the yield curve to predict GDP activity was examined in countries of EU-15 – Austria, Belgium, Denmark, Finland, France, Germany, Greece, Ireland, Italy, Luxemburg, the Netherlands, Portugal, Spain, Sweden and United Kingdom. The dataset contains the spread between 10-year and 3-month sovereign bonds and real GDP of the countries mentioned above between the years 2000 and 2013. The results showed that the prediction ability of the GDP growth or decrease was proven after year 2008 (the financial crisis) in Austria, Denmark, Finland, France, Germany, Ireland, Sweden and United Kingdom. Certainly the simple yield curve growth forecast should not serve as a replacement for the complex predictive models, it does, however, provide enough information to serve as a useful check on the more sophisticated forecasts. 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. |
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