RT Report
T1 Dynamic correlations and forecasting of term structure slopes in eurocurrency market
A1 Domínguez, Emilio
A1 Novales Cinca, Alfonso Santiago
AB Using monthly data on Euro-rates for 1979-1998, we examine the extent to which crosscountry information 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 slopes are known to anticipate fluctuations in the real economy. Additionally, the Expectations Hypothesis states that the term structure slope summarizes the available information which is relevant for forecasting future short-term interest rates, so that improved slope forecasts might also lead to better forecasts of future interest rates. We find ample evidence of significant explanatory power in term structure slopes across countries. Besides, we document that this information content leads to improved forecasts of the term structure slope in some countries, using a foreign slope as indicator.
PB Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid
YR 2002
FD 2002
LK https://hdl.handle.net/20.500.14352/64517
UL https://hdl.handle.net/20.500.14352/64517
LA eng
DS Docta Complutense
RD 6 abr 2025