Analiza krivulje prinosa državnih obveznica SAD-a kao indikatora recesije

master's thesis

• Title (english): Analysis of the yield curve of US government bonds as an indicator of recession
• Author: Domagoj Klarić
• Mentor: Tomislav Sekur (mentor)
• Committee member: Tomislav Sekur (član povjerenstva)
• Committee member: Lucija Rogić Dumančić (član povjerenstva)
• Granter: University of Zagreb; Faculty of Economics and Business; (Department of Managerial Economics); Zagreb
• Defense date and country: 2023-09-29, Croatia
• Scientific / art field, discipline and subdiscipline: SOCIAL SCIENCES; Economics; Macroeconomics

Abstract

Krivulja prinosa prikazuje vremensku strukturu kamatnih stopa te se sastavlja za nerizične obveznice, što u ovom radu predstavljaju američke državne obveznice. Krivulja prinosa je jednostavan alat prognoziranja recesije, u povoljnim gospodarskim okolnostima krivulja prinosa je uzlaznog oblika, što se smatra normalnim oblikom. Ovaj oblik ukazuje kako tržišni dionici očekuju ubrzavanje gospodarskog rasta i povećanje stopa inflacije u budućnosti, samim time za obveznice duljeg dospijeća traže veći prinos do dospijeća kako se suočavaju s rizikom neizvjesnosti budućih kretanja tržišta. Do inverzne krivulje prinosa dolazi kada su prinosi do dospijeća na kratkoročnom dijelu krivulje viši od onih na dugoročnom. Do inverza krivulje prinosa generalno dolazi u uvjetima visokih stopa inflacije popraćenih agresivnim rastom efektivne referentne kamatne stope u pokušajima da se smiri inflacija. Porastom referentne kamatne stope rastu i prinosi do dospijeća na cijelom spektru dospijeća obveznica, no porast referentnih stopa značajnije utječe na kratkoročni dio krivulje nego na dugoročni. Jači postotni porast kratkoročnih prinosa dovodi do smanjenja nagiba odnosno ravnanja krivulje prinosa ili dovodi do njezinog inverza. Na dugoročni dio krivulje primarno utječu očekivanja stope inflacije i referentnih kamatnih stopa u budućnosti te percepcija rizika dugoročne obveznice od strane investitora, ali ne rizika neplaćanja nego rizika promjene stope inflacije i referentnih kamatnih stopa, što bih umanjilo dobit držanja dugoročne obveznice umjesto investiranja u seriju kratkoročnih obveznica. Prinos na desetogodišnju obveznicu u razdoblju od 1980. – 2020. ima trend pada, a ovo se može pripisati mnogim faktorima kao što su makroekonomska stabilnost što se tiče kamatnih stopa i inflacije te nekonvencionalne monetarne politike (kvantitativno popuštanje) koje su dovele do sniženja prinosa na dugoročnom dijelu krivulje. Porastom stopa inflacije i efektivnih referentnih kamatnih stopa kroz 2020. – 2023. godinu dolazi i do porasta prinosa na desetogodišnju obveznicu. Analizom krivulje prinosa kroz povijest uočavamo da je ona korisna kao prediktor recesije, što je potvrđeno i mnogim ekonometrijskim analizama poput one od Estrelle i Mishkina (1996) te Duekera (1997).

Abstract (english)

The yield curve shows the time structure of interest rates, and is compiled for risk-free bonds, which are in this paper represented by the US government bonds. The yield curve is a simple recession forecasting tool. Under favorable economic circumstances the yield curve is upward-sloping, which is considered a normal shape of the yield curve. This form indicates that market stakeholders expect an acceleration of economic growth and an increase in inflation rates in the future, therefore they are looking for a higher yield to maturity for longer-maturity bonds as they face the risk of uncertainty about future market movements. An inverted yield curve occurs when yields to maturity on the short-term part of the curve are higher than those on the long-term portion. The inversion of the yield curve generally occurs in conditions of high inflation rates accompanied by an aggressive increase in the effective reference interest rate in attempts to calm inflation. As the reference interest rate rises, the yields to maturity on the entire spectrum of bond maturities also increase, but the rise in reference rates has a more significant effect on the short-term part of the curve than on the long-term. A stronger percentage increase in short-term yields leads to a decrease in the slope or flattening of the yield curve or leads to its inverse. The long-term part of the curve is primarily influenced by expectations of the inflation rate and reference interest rates in the future and the perception of long-term bond risk by investors, but not the risk of default, but the risk of changes in the inflation rate and reference interest rates, which would reduce the profit of holding a long-term bond instead of investing in a series of short-term bonds. The yield on the ten-year bond in the period from 1980 to 2020 has a downward trend, and this can be attributed to many factors, such as macroeconomic stability in terms of interest rates and inflation, and unconventional monetary policy (quantitative easing) that led to lower yields on long-term part of the curve. The increase in the rate of inflation and effective reference interest rates through the years 2020-2023 also lead to an increase in the yield on the ten-year bond. Analyzing the yield curve throughout history, we see that it is useful as a predictor of recession, which is also confirmed by many econometric analyzes such as that of Estrella and Mishkin (1996) and Dueker (1997).

• Keywords: krivulja prinosa; inverzna krivulja prinosa; prinos do dospijeća; referentna kamatna stopa; očekivana inflacija
• Keywords (english): yield curve; inverted yield curve; yield to maturity; FED funds rate; expected inflation
• Language: croatian
• URN:NBN: urn:nbn:hr:148:862159
• Study programme: Title: Business Economics; Study programme type: university; Study level: integrated undergraduate and graduate; Academic / professional title: sveučilišni magistar ekonomije/sveučilišna magistra ekonomije (sveučilišni magistar ekonomije/sveučilišna magistra ekonomije)
• Type of resource: Text
• File origin: Born digital
• Access conditions: Open access
• Created on: 2023-10-09 09:55:59