Publication details

Does the Yield Curve Predict Future Economic Activity? The Case of EU-28 and USA



Year of publication 2014
Type Article in Proceedings
Conference Economic Development and Management of Regions. Peer-Reviewed Conference Procedings: The International Conference Hradec Economic Days 2014
MU Faculty or unit

Faculty of Economics and Administration

Field Economy
Keywords yield curve – spread – GDP – slope – economic activity prediction
Description In this paper the ability of the yield curve to predict GDP activity was examined in countries of EU-28 and United States of America. The dataset contains the spread between 10-year and 3-month sovereign bonds and real GDP of the countries 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, Belgium, Czech Republic, Denmark, Finland, France, Germany, Ireland, Luxembourg, Malta, Slovakia, Sweden and United Kingdom. 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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