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The presented dissertation examines the ability of the yield curve to forecast future GDP and consumption levels. Through the addition of macroeconomic variables to the standard models of the term structure of interest rates many important conclusions for monetary policy are being made. The aim of the academic work is to reveal the information in interest rate spread and to disclose the essence of the subjective decision-making processes that takes place on the investors side. Due to the introduction of a complex utility function with habit formation, a possibility is being created to assess in a quantitative manner the strength and durability of external shocks, as well as to form real measures for inflation expectations and for future economic developments. Gaining a profound look at the investors motivation, the central banks in the new EU member states will be able to outweigh more accurately the positive and negative effects of a change of the target interest rates. For the European Union as a whole, and for the individual countries included in the survey in particular - Bulgaria, Romania, Czech Republic, Lithuania, Latvia, Poland and Hungary, the data shows statistically significant possibilities for predicting GDP and consumption one up to two quarters in the future. A new approach to the empirical study includes alternative interest rates as predictors- such as debt market interest rates and interest rate spreads on the Central Bank loans and deposits.
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