%0 Report
%A Novales Cinca, Alfonso
%A Domínguez, Emilio
%T A factor model of term structure slopes in eurocurrency markets
%J Documentos de trabajo del Instituto Complutense de Análisis Económico (ICAE)
%D 2002
%U https://hdl.handle.net/20.500.14352/64514
%X This paper departs from previous research in dealing with dimensionality reduction in the space ofinternational term structure slopes. Recent empirical work has documented the existence of information inthe slope of the term structure which is relevant to forecast future changes in economic activity, and it isadditional to information in past economic activity, inflation, or in any leading indicator index [seeEstrella 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 slopescould be helpful to anticipate changes in economic activity with an even longer anticipation.
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