Forecasting a global economic crisis based on the inversion of the spread of long-term and short-term US Treasury bond yields
The subject of the research is the process of changing the slope of the yield spread curve of ten-year and two-year US government bonds. This phenomenon foreshadows a global economic crisis that can collapse stock markets. The aim of the work is to forecast a global economic crisis through the influence of the inversion of the yield spread of long-term and short-term US Treasury bonds on the S&P500 index. During the study of the economic situation, the following scientific methods were used in a certain sequence: analysis of time series of indicators; testing statistical data for station-arity using the ADF test and the KPSS test; bringing the S&P500 time series to a stationary form by removing the trend; the Koike method; forecasting using the autoregressive model and the model with an infinite number of lagged variables. As a result, it was found that the inversion of the yield spread of ten-year and two-year US Treasury bonds predicted a global economic crisis, which will occur in the short term and will negatively affect the Russian stock market. The results of the research can be used by investors to develop strategies for trading in stock markets. In particular, having information about the approaching of a global economic crisis that will affect the real economy and stock markets, it is possible to sell existing shares in a timely manner. Thus, the presented work proves that the collapse of stock markets in the international economy can occur in the short term, since the slope of the yield curve of ten-year and two-year US Treasury bonds has changed, the yield spread of long-term and short-term US Treasury bonds has inverted and moved into negative territory in July 2022. The author declares no conflicts of interests.
Keywords
bond yield spread inversion,
monetary policy,
global economic crisis,
stock markets,
forecastingAuthors
| Tenkovskaya Lyudmila I. | PJSC Moscow Exchange MICEX-RTS | tenkovskaya.lyudmila@gmail.com |
Всего: 1
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