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A factor model of term structure slopes in eurocurrency markets

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dc.contributor.authorNovales Cinca, Alfonso Santiago
dc.contributor.authorDomínguez, Emilio
dc.date.accessioned2023-06-21T01:46:03Z
dc.date.available2023-06-21T01:46:03Z
dc.date.issued2002
dc.description.abstractThis 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.
dc.description.facultyFac. de Ciencias Económicas y Empresariales
dc.description.facultyInstituto Complutense de Análisis Económico (ICAE)
dc.description.refereedTRUE
dc.description.statuspub
dc.eprint.idhttps://eprints.ucm.es/id/eprint/7683
dc.identifier.relatedurlhttps://www.ucm.es/icae
dc.identifier.urihttps://hdl.handle.net/20.500.14352/64514
dc.issue.number24
dc.language.isoeng
dc.page.total16
dc.publication.placeMadrid
dc.publisherInstituto Complutense de Análisis Económico. Universidad Complutense de Madrid
dc.relation.ispartofseriesDocumentos de trabajo del Instituto Complutense de Análisis Económico (ICAE)
dc.rights.accessRightsopen access
dc.subject.jelE37
dc.subject.jelE43
dc.subject.keywordTerm structure of interest rates
dc.subject.keywordTerm structure slope
dc.subject.keywordPrincipal components
dc.subject.keywordEurocurrencies
dc.subject.ucmMercados bursátiles y financieros
dc.titleA factor model of term structure slopes in eurocurrency markets
dc.typetechnical report
dc.volume.number2002
dcterms.referencesDe Grauwe, P., 1989, Is the European monetary system a DM-zone?, Working Paper, CEPR, London. Domínguez, E., and A.Novales, 2000, Term structure relationships across countries in the eurocurrency markets, manuscript, Universidad Complutense, Madrid. Estrella, A., and G.A.Hardouvelis, 1991, The term structure as a predictor of real economic activity, The Journal of Finance 46, 555-576. Hardouvelis, G.A., 1994, The term structure spread and future changes in long and short rates in the G7 countries, Journal of Monetary Economics, 25, 59-76. Kafakis, J.C. and D.M.Moschos, 1990, Interest rate linkages within the European monetary System: A time series analysis, Journal of Money, Credit and Banking 22, 388-394. Katsimbris, G.M. and S.M.Miller, 1993, Interest rate linkages within the European monetary System: Further analysis, Journal of Money, Credit and Banking 25, 771-779. Plosser, C.I. and Rouwenhorst, K.G., 1994, International term structures and real economic growth, Journal of Monetary Economics, 22, 133-155. Stock, J. and M.Watson, 1988, Testing for common trends, Journal of the American Statistical Asociation, 1097-1107. Von Hagen, J. and M.Fratiani, 1990, German dominance in the EMS: Evidence from interest rates, Journal of International Money and Finance, 18, 817-838.
dspace.entity.typePublication
relation.isAuthorOfPublication1ebcfd7a-98fe-4310-bd7a-db2e0e8d1bed
relation.isAuthorOfPublication.latestForDiscovery1ebcfd7a-98fe-4310-bd7a-db2e0e8d1bed

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