RT Report
T1 A factor model of term structure slopes in eurocurrency markets
A1 Novales Cinca, Alfonso Santiago
A1 Domínguez, Emilio
AB 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.
PB Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid
YR 2002
FD 2002
LK https://hdl.handle.net/20.500.14352/64514
UL https://hdl.handle.net/20.500.14352/64514
LA eng
DS Docta Complutense
RD 6 abr 2025