A factor model of term structure slopes in Eurocurrency markets
AbstractRecent 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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Bibliographic InfoArticle provided by Taylor and Francis Journals in its journal Applied Economics Letters.
Volume (Year): 9 (2002)
Issue (Month): 9 ()
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Web page: http://www.tandf.co.uk/journals/routledge/13504851.html
Other versions of this item:
- Alfonso Novales & Emilio Domínguez, 2002. "A factor model of term structure slopes in eurocurrency markets," Documentos del Instituto Complutense de AnÃ¡lisis EconÃ³mico 0224, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
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- 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.
- Krylova, Elizaveta & Nikkinen, Jussi & Vähämaa, Sami, 2009. "Cross-dynamics of volatility term structures implied by foreign exchange options," Journal of Economics and Business, Elsevier, vol. 61(5), pages 355-375, September.
- Pilar Abad & Alfonso Novales, 2002.
"An Error Correction Factor Model of Term Structure Slopes in International Swaps Markets,"
Documentos del Instituto Complutense de AnÃ¡lisis EconÃ³mico
0222, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- Abad, Pilar & Novales, Alfonso, 2005. "An error correction factor model of term structure slopes in international swap markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 15(3), pages 229-254, July.
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