Publication: Dynamic correlations and forecasting of term structure slopes in eurocurrency market
Loading...
Files
Official URL
Full text at PDC
Publication Date
2002
Advisors (or tutors)
Editors
Journal Title
Journal ISSN
Volume Title
Publisher
Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid
Citations
Exportar
Abstract
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.
Description
UCM subjects
Unesco subjects
Keywords
Citation
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.