The predictive power of the yeld curve: the portuguese case
Autor(a) principal: | |
---|---|
Data de Publicação: | 2020 |
Tipo de documento: | Dissertação |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10362/108413 |
Resumo: | This work project studies the historical relation ship between the yield curve and real economic activity in Portugal, comparing results with Germany and Spain.Controlling for other indicators, on average,each percentage point increase in the Portuguese yield spread was associated with a 0.6 pp.increase in real growth over the subsequent year. In general,a longer maturity short-term rate is preferable in Portugal, similarly to Spain. To forecast recessions, as expected, the lower the slope of the yield curve,the higher the probability of a downturn. Spain, an expanded model is more effective for Portugal,whilst for Germany the univariate setup was already relatively a curate. These onclusions could be use ful in Risk Management or in the improvement of a Portuguese leading economic indicator. |
id |
RCAP_0183f1b6a794e7b1010b13106197f1ff |
---|---|
oai_identifier_str |
oai:run.unl.pt:10362/108413 |
network_acronym_str |
RCAP |
network_name_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository_id_str |
7160 |
spelling |
The predictive power of the yeld curve: the portuguese caseYield curveTerm spreadReal economic growthRecessionsDomínio/Área Científica::Ciências Sociais::Economia e GestãoThis work project studies the historical relation ship between the yield curve and real economic activity in Portugal, comparing results with Germany and Spain.Controlling for other indicators, on average,each percentage point increase in the Portuguese yield spread was associated with a 0.6 pp.increase in real growth over the subsequent year. In general,a longer maturity short-term rate is preferable in Portugal, similarly to Spain. To forecast recessions, as expected, the lower the slope of the yield curve,the higher the probability of a downturn. Spain, an expanded model is more effective for Portugal,whilst for Germany the univariate setup was already relatively a curate. These onclusions could be use ful in Risk Management or in the improvement of a Portuguese leading economic indicator.Silva, André CastroRUNMartins, Filipe Afonso Borges De Castro De Oliveira2020-12-10T11:14:13Z2020-06-042020-05-212020-06-04T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/108413TID:202524361enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T04:52:53Zoai:run.unl.pt:10362/108413Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:41:09.710978Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
The predictive power of the yeld curve: the portuguese case |
title |
The predictive power of the yeld curve: the portuguese case |
spellingShingle |
The predictive power of the yeld curve: the portuguese case Martins, Filipe Afonso Borges De Castro De Oliveira Yield curve Term spread Real economic growth Recessions Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
title_short |
The predictive power of the yeld curve: the portuguese case |
title_full |
The predictive power of the yeld curve: the portuguese case |
title_fullStr |
The predictive power of the yeld curve: the portuguese case |
title_full_unstemmed |
The predictive power of the yeld curve: the portuguese case |
title_sort |
The predictive power of the yeld curve: the portuguese case |
author |
Martins, Filipe Afonso Borges De Castro De Oliveira |
author_facet |
Martins, Filipe Afonso Borges De Castro De Oliveira |
author_role |
author |
dc.contributor.none.fl_str_mv |
Silva, André Castro RUN |
dc.contributor.author.fl_str_mv |
Martins, Filipe Afonso Borges De Castro De Oliveira |
dc.subject.por.fl_str_mv |
Yield curve Term spread Real economic growth Recessions Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
topic |
Yield curve Term spread Real economic growth Recessions Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
description |
This work project studies the historical relation ship between the yield curve and real economic activity in Portugal, comparing results with Germany and Spain.Controlling for other indicators, on average,each percentage point increase in the Portuguese yield spread was associated with a 0.6 pp.increase in real growth over the subsequent year. In general,a longer maturity short-term rate is preferable in Portugal, similarly to Spain. To forecast recessions, as expected, the lower the slope of the yield curve,the higher the probability of a downturn. Spain, an expanded model is more effective for Portugal,whilst for Germany the univariate setup was already relatively a curate. These onclusions could be use ful in Risk Management or in the improvement of a Portuguese leading economic indicator. |
publishDate |
2020 |
dc.date.none.fl_str_mv |
2020-12-10T11:14:13Z 2020-06-04 2020-05-21 2020-06-04T00:00:00Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
format |
masterThesis |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10362/108413 TID:202524361 |
url |
http://hdl.handle.net/10362/108413 |
identifier_str_mv |
TID:202524361 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
instname_str |
Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
repository.mail.fl_str_mv |
|
_version_ |
1799138024794095616 |