Publicação
From bonds to prosperity: echoes of yield spreads on Gdp growth
| datacite.subject.fos | Ciências Sociais::Economia e Gestão | pt_PT |
| dc.contributor.advisor | Ottonello, Giorgio | |
| dc.contributor.advisor | Taborda, Rodrigo | |
| dc.contributor.author | Melo, José David Pinzón | |
| dc.date.accessioned | 2024-12-06T12:15:13Z | |
| dc.date.available | 2024-12-06T12:15:13Z | |
| dc.date.issued | 2024-01-11 | |
| dc.date.submitted | 2023-12-20 | |
| dc.description.abstract | This finance master's thesis examines the predictive efficacy of the 10-year and 3-month (10Y3M) and the 10-year and 2-year (10Y2Y) U.S. Treasury bond yield spread in forecasting Real GDP fluctuations from Q1 1982 to Q2 2022, analyzing quarterly historical data from St. Louis Federal Reserve Economic Data and Bloomberg for 10Y3M, 10Y2Y, real GDP growth, and VIX series (1990 Q1 to 2022 Q2). Results suggest that relying solely on spreads for GDP predictions can be misleading and underscore their limited and inconclusive predictive ability, emphasizing the need for additional variables, such as the VIX index, to enhance predictive power. | pt_PT |
| dc.identifier.tid | 203680847 | pt_PT |
| dc.identifier.uri | http://hdl.handle.net/10362/176265 | |
| dc.language.iso | eng | pt_PT |
| dc.relation | UID/ECO/00124/2013 | pt_PT |
| dc.subject | Yield spread | pt_PT |
| dc.subject | Yield curve | pt_PT |
| dc.subject | Term structure | pt_PT |
| dc.subject | Economic downturn | pt_PT |
| dc.subject | Vix | pt_PT |
| dc.title | From bonds to prosperity: echoes of yield spreads on Gdp growth | pt_PT |
| dc.type | master thesis | |
| dspace.entity.type | Publication | |
| rcaap.rights | openAccess | pt_PT |
| rcaap.type | masterThesis | pt_PT |
| thesis.degree.name | A Work Project, presented as part of the requirements for the Award of a Master’s degree in Finance from the Nova School of Business and Economics. | pt_PT |
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