Wykorzystanie spreadu stóp procentowych w badaniach aktywności gospodarczej oraz procesów inflacyjnych

• Autorzy: Jarosław Janecki

Warianty tytułu

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

• Języki publikacji: PL

Abstrakty

Autor przedstawił analizy nachylenia struktury czasowej stóp procentowych, reprezentowanego przez spready rentowności skarbowych papierów wartościowych, do badania aktywności gospodarczej oraz poziomu inflacji.

EN

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. (original abstract)

Słowa kluczowe

PL

Polityka pieniężna państwa; Wzrost gospodarczy; Inflacja; Stopa procentowa

EN

State monetary policy; Economic growth; Inflation; Interest rate

• Czasopismo: Acta Universitatis Lodziensis. Folia Oeconomica
• Rocznik: 2004
• Tom: 177 Rynki finansowe, prognozy a decyzje
• Strony: 95--108

Twórcy

autor

Jarosław Janecki

Bibliografia

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