The Use of Yield Spread in Economy Activity and Inflation Process Research

Jarosław Janecki ()
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Jarosław Janecki: Ministry of Finance, Poland

Chapter 6 in Acta Universitatis Lodziensis. Folia Oeconomica nr 177/2004 - Forecasting and Decision-Making in Financial Markets, 2004, vol. 177, pp 95-108 from University of Lodz

Abstract: Empirical research has uncovered predictive relationships between the slope of the yield curve (yields spread) and expected future inflation and future economic growth. This study applies existing framework and examines empirically what the yields spread of interest rates tells us about future path of inflation and economic growth. Using two spreads: difference between 5-years T-bonds and WIBID interbank rate and difference between 5-years T-bonds and 52-weeks T-bills demonstrates that yield spread is a valuable forecasting tool. Results for Poland show us that the Polish yield spreads have significant predictive content for the Polish market.

Keywords: Interest rates; Inflation; Economic growth; Monetary policy (search for similar items in EconPapers)
JEL-codes: C01 E02 F00 G00 (search for similar items in EconPapers)
Date: 2004
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Persistent link: https://EconPapers.repec.org/RePEc:ann:findec:book:y:2004:n:177:ch:06:foe

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