Biblioteca de la Universidad Complutense de Madrid

A factor model of term structure slopes in eurocurrency markets

Impacto



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/




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
Referencias:

De Grauwe, P., 1989, Is the European monetary system a DM-zone?, Working Paper, CEPR, London.

Domínguez, E., and A.Novales, 2000, Term structure relationships across countries in the eurocurrency markets, manuscript, Universidad Complutense, Madrid.

Estrella, A., and G.A.Hardouvelis, 1991, The term structure as a predictor of real economic activity, The Journal of Finance 46, 555-576.

Hardouvelis, G.A., 1994, The term structure spread and future changes in long and short rates in the G7 countries, Journal of Monetary Economics, 25, 59-76.

Kafakis, J.C. and D.M.Moschos, 1990, Interest rate linkages within the European monetary System: A time series analysis, Journal of Money, Credit and Banking 22, 388-394.

Katsimbris, G.M. and S.M.Miller, 1993, Interest rate linkages within the European monetary System: Further analysis, Journal of Money, Credit and Banking 25, 771-779.

Plosser, C.I. and Rouwenhorst, K.G., 1994, International term structures and real economic growth, Journal of Monetary Economics, 22, 133-155.

Stock, J. and M.Watson, 1988, Testing for common trends, Journal of the American Statistical Asociation, 1097-1107.

Von Hagen, J. and M.Fratiani, 1990, German dominance in the EMS: Evidence from interest rates, Journal of International Money and Finance, 18, 817-838.

Depositado:04 Mar 2008
Última Modificación:06 Feb 2014 07:55

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