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A factor model of term structure slopes in Eurocurrency markets

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  • Emilio Dominguez
  • Alfonso Novales

Abstract

Recent empirical work has documented the existence of specific information in the slope of the term structure which is relevant to forecast future changes in economic activity. A good forecasting model of term structure slopes could therefore be helpful to anticipate changes in economic activity with an even longer anticipation. Firstly, it is analysed whether a good forecasting model can be found for term structure slopes in different currencies. After that, a factor model is constructed of term structure slopes, and the quality of slope forecasts obtained from factor models are compared to those obtained from univariate models.

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File URL: http://www.informaworld.com/openurl?genre=article&doi=10.1080/13504850110111199&magic=repec&7C&7C8674ECAB8BB840C6AD35DC6213A474B5
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Bibliographic Info

Article provided by Taylor and Francis Journals in its journal Applied Economics Letters.

Volume (Year): 9 (2002)
Issue (Month): 9 ()
Pages: 585-593

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Handle: RePEc:taf:apeclt:v:9:y:2002:i:9:p:585-593

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Cited by:
  1. Elizaveta Krylova & Jussi Nikkinen & Sami Vähämaa, 2005. "Cross-dynamics of volatility term structures implied by foreign exchange options," Working Paper Series 530, European Central Bank.
  2. Pilar Abad & Alfonso Novales, 2002. "An Error Correction Factor Model of Term Structure Slopes in International Swaps Markets," Documentos del Instituto Complutense de Análisis Económico 0222, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.

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