A factor model of term structure slopes in eurocurrency markets
This paper departs from previous research in dealing with dimensionality reduction in the space of international term structure slopes. Recent empirical work has documented the existence of information in the slope of the term structure which is relevant to forecast future changes in economic activi...
| Authors: | ; |
|---|---|
| Format: | Report |
| Publication date: | 2002 |
| Country: | España |
| Institution: | Universidad Complutense de Madrid (UCM) |
| Repository: | Docta Complutense |
| Language: | English |
| OAI Identifier: | oai:docta.ucm.es:20.500.14352/64514 |
| Online Access: | https://hdl.handle.net/20.500.14352/64514 |
| Access Level: | Open access |
| Keyword: | E37 E43 Term structure of interest rates Term structure slope Principal components Eurocurrencies Mercados bursátiles y financieros |
| Summary: | This paper departs from previous research in dealing with dimensionality reduction in the space of international term structure slopes. Recent empirical work has documented the existence of information in the slope of the term structure which is relevant to forecast future changes in economic activity, and it is additional to information in past economic activity, inflation, or in any leading indicator index [see Estrella and Hardouvelis (1991), Stock and Watson (1988), Hardouvelis (1994) and Plosser and Rouwenhorst (1994), among others]. This implies that a good forecasting model of term structure slopes could be helpful to anticipate changes in economic activity with an even longer anticipation. |
|---|