%0 Report
%A Domínguez, Emilio
%A Novales Cinca, Alfonso
%T Dynamic correlations and forecasting of term structure slopes in eurocurrency market
%J Documentos de trabajo del Instituto Complutense de Análisis Económico (ICAE)
%D 2002
%U https://hdl.handle.net/20.500.14352/64517
%X Using monthly data on Euro-rates for 1979-1998, we examine the extent to which crosscountryinformation on term structure slopes can be used to improve upon univariate slope forecasts.This is interesting from the point of view of forecasting economic activity, since term structure slopesare known to anticipate fluctuations in the real economy. Additionally, the Expectations Hypothesisstates that the term structure slope summarizes the available information which is relevant forforecasting future short-term interest rates, so that improved slope forecasts might also lead to betterforecasts of future interest rates. We find ample evidence of significant explanatory power in termstructure slopes across countries. Besides, we document that this information content leads to improvedforecasts of the term structure slope in some countries, using a foreign slope as indicator.
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