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A factor model of term structure slopes in eurocurrency markets

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Novales Cinca, Alfonso y Domínguez, Emilio (2002) A factor model of term structure slopes in eurocurrency markets. [ Documentos de trabajo del Instituto Complutense de Análisis Económico (ICAE); nº 0224, 2002, ]

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URL Oficial: http://eprints.ucm.es/7683/


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https://www.ucm.es/icaeInstitución


Resumen

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.


Tipo de documento:Documento de trabajo o Informe técnico
Información Adicional:

JEL Classification: E37, E43

Palabras clave:Term structure of interest rates, Term structure slope, Principal components, Eurocurrencies
Materias:Ciencias Sociales > Economía > Mercados bursátiles y financieros
Título de serie o colección:Documentos de trabajo del Instituto Complutense de Análisis Económico (ICAE)
Volumen:2002
Número:0224
Código ID:7683
Depositado:04 Mar 2008
Última Modificación:06 Feb 2014 07:55

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