Fernandez-Perez, AdrianFernández-Rodríguez, FernandoSosvilla Rivero, Simón Javier2023-06-192023-06-192013-06https://hdl.handle.net/20.500.14352/41484Publicado en:International Review of Economics and Finance, 2014, Vol. 31 . pp. 21-33. Elsevier. doi:10.1016/j.iref.2013.12.004We present a model to forecast the probability of bear markets in the Spanish IBEX 35 with a congruent and concise parameterization which selects the explanatory factors from a wide set of variables like the yield curve of Spain, US and Europe, as well as several macro variables, and numerous leading indicators. To this end, we first use a data-guided algorithm to select an in-sample optimal Probit model that is employed as a benchmark. We then form alternative Probit models obtained from combinations of levels, slopes and/or curvatures in the yield curve of Spain, US and Europe, as well as several macro variables and compare their estimated probability of bear markets in the out-of-sample period with that from the benchmark model. Our results suggest that the slopes of US and Europe yield curves have some information content (not implicitly present in the slope of the Spanish yield curve) that helps to better forecast the probability of bear markets in the IBEX 35.engAtribución-NoComercial 3.0 Españahttps://creativecommons.org/licenses/by-nc/3.0/es/technical reporthttps://www.ucm.es/icaeopen accessE43G15C20Term structure of interest ratesStock returnsTrading strategies.Econometría (Economía)5302 Econometría