An error correction factor model of term structure slopes in international swaps markets

The first two principal components in the vector of term structure slopes from IRS markets in eight major currencies can be approximately identified as the slopes for the US dollar and Deutsche mark. Each of the eight slopes considered is cointegrated with these two factors. The implied Error Correc...

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Detalhes bibliográficos
Autores: Novales Cinca, Alfonso Santiago, Abad Romero, Pilar
Formato: informe técnico
Fecha de publicación:2002
País:España
Recursos:Universidad Complutense de Madrid (UCM)
Repositorio:Docta Complutense
Idioma:inglés
OAI Identifier:oai:docta.ucm.es:20.500.14352/64512
Acesso em linha:https://hdl.handle.net/20.500.14352/64512
Access Level:acceso abierto
Palavra-chave:E37
E43
Factor models
Term structure of interest rates
Principal components
Swap markets
IRS
Mercados bursátiles y financieros
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spelling An error correction factor model of term structure slopes in international swaps marketsNovales Cinca, Alfonso SantiagoAbad Romero, PilarE37E43Factor modelsTerm structure of interest ratesPrincipal componentsSwap marketsIRSMercados bursátiles y financierosThe first two principal components in the vector of term structure slopes from IRS markets in eight major currencies can be approximately identified as the slopes for the US dollar and Deutsche mark. Each of the eight slopes considered is cointegrated with these two factors. The implied Error Correction models can be very fruitful for short and medium term slope forecasting for the eight currencies. This scheme achieves a drastic reduction of dimensionality, since the eight slopes can be predicted using just univariate forecasts for the two factors. Adding more factors to the model does not lead to a significant improvement in forecasting performance, while forecasts obtained using just one factor are not as good as those from two-factor Error Correction models.Instituto Complutense de Análisis Económico. Universidad Complutense de MadridUniversidad Complutense de Madrid20022002-01-0120022002-01-01technical reporthttp://purl.org/coar/resource_type/c_18ghinfo:eu-repo/semantics/reportapplication/pdfhttps://hdl.handle.net/20.500.14352/64512reponame:Docta Complutenseinstname:Universidad Complutense de Madrid (UCM)Inglésengopen accesshttp://purl.org/coar/access_right/c_abf2info:eu-repo/semantics/openAccessoai:docta.ucm.es:20.500.14352/645122026-06-02T12:44:21Z
dc.title.none.fl_str_mv An error correction factor model of term structure slopes in international swaps markets
title An error correction factor model of term structure slopes in international swaps markets
spellingShingle An error correction factor model of term structure slopes in international swaps markets
Novales Cinca, Alfonso Santiago
E37
E43
Factor models
Term structure of interest rates
Principal components
Swap markets
IRS
Mercados bursátiles y financieros
title_short An error correction factor model of term structure slopes in international swaps markets
title_full An error correction factor model of term structure slopes in international swaps markets
title_fullStr An error correction factor model of term structure slopes in international swaps markets
title_full_unstemmed An error correction factor model of term structure slopes in international swaps markets
title_sort An error correction factor model of term structure slopes in international swaps markets
dc.creator.none.fl_str_mv Novales Cinca, Alfonso Santiago
Abad Romero, Pilar
author Novales Cinca, Alfonso Santiago
author_facet Novales Cinca, Alfonso Santiago
Abad Romero, Pilar
author_role author
author2 Abad Romero, Pilar
author2_role author
dc.contributor.none.fl_str_mv Universidad Complutense de Madrid
dc.subject.none.fl_str_mv E37
E43
Factor models
Term structure of interest rates
Principal components
Swap markets
IRS
Mercados bursátiles y financieros
topic E37
E43
Factor models
Term structure of interest rates
Principal components
Swap markets
IRS
Mercados bursátiles y financieros
description The first two principal components in the vector of term structure slopes from IRS markets in eight major currencies can be approximately identified as the slopes for the US dollar and Deutsche mark. Each of the eight slopes considered is cointegrated with these two factors. The implied Error Correction models can be very fruitful for short and medium term slope forecasting for the eight currencies. This scheme achieves a drastic reduction of dimensionality, since the eight slopes can be predicted using just univariate forecasts for the two factors. Adding more factors to the model does not lead to a significant improvement in forecasting performance, while forecasts obtained using just one factor are not as good as those from two-factor Error Correction models.
publishDate 2002
dc.date.none.fl_str_mv 2002
2002-01-01
2002
2002-01-01
dc.type.none.fl_str_mv technical report
http://purl.org/coar/resource_type/c_18gh
dc.type.openaire.fl_str_mv info:eu-repo/semantics/report
format report
dc.identifier.none.fl_str_mv https://hdl.handle.net/20.500.14352/64512
url https://hdl.handle.net/20.500.14352/64512
dc.language.none.fl_str_mv Inglés
eng
language_invalid_str_mv Inglés
language eng
dc.rights.none.fl_str_mv open access
http://purl.org/coar/access_right/c_abf2
dc.rights.openaire.fl_str_mv info:eu-repo/semantics/openAccess
rights_invalid_str_mv open access
http://purl.org/coar/access_right/c_abf2
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid
publisher.none.fl_str_mv Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid
dc.source.none.fl_str_mv reponame:Docta Complutense
instname:Universidad Complutense de Madrid (UCM)
instname_str Universidad Complutense de Madrid (UCM)
reponame_str Docta Complutense
collection Docta Complutense
repository.name.fl_str_mv
repository.mail.fl_str_mv
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score 15,81155

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