The Application of Sovereign Bond Spreads (The Case of Finland, Iceland, Norway, Sweden, Switzerland and Russia)
| Autoři | |
|---|---|
| Rok publikování | 2014 |
| Druh | Článek ve sborníku |
| Konference | 6th International Conference "Economic Challenges in Enlarged Europe" - Conference Proceedings |
| Fakulta / Pracoviště MU | |
| Citace | |
| Obor | Ekonomie |
| Klíčová slova | GDP prediction; yield curve; slope; spread |
| Popis | 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. |
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