A factor model of term structure slopes in eurocurrency markets

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 activi...

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Detalles Bibliográficos
Autores: Novales Cinca, Alfonso Santiago, Domínguez Irastorza, Emilio
Tipo de recurso: informe técnico
Fecha de publicación:2002
País:España
Institución:Universidad Complutense de Madrid (UCM)
Repositorio:Docta Complutense
Idioma:inglés
OAI Identifier:oai:docta.ucm.es:20.500.14352/64514
Acceso en línea:https://hdl.handle.net/20.500.14352/64514
Access Level:acceso abierto
Palabra clave:E37
E43
Term structure of interest rates
Term structure slope
Principal components
Eurocurrencies
Mercados bursátiles y financieros
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spelling A factor model of term structure slopes in eurocurrency marketsNovales Cinca, Alfonso SantiagoDomínguez Irastorza, EmilioE37E43Term structure of interest ratesTerm structure slopePrincipal componentsEurocurrenciesMercados bursátiles y financierosThis 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.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/20.500.14352/64514reponame:Docta Complutenseinstname:Universidad Complutense de Madrid (UCM)Inglésengopen accesshttp://purl.org/coar/access_right/c_abf2info:eu-repo/semantics/openAccessoai:docta.ucm.es:20.500.14352/645142026-06-02T12:44:21Z
dc.title.none.fl_str_mv A factor model of term structure slopes in eurocurrency markets
title A factor model of term structure slopes in eurocurrency markets
spellingShingle A factor model of term structure slopes in eurocurrency markets
Novales Cinca, Alfonso Santiago
E37
E43
Term structure of interest rates
Term structure slope
Principal components
Eurocurrencies
Mercados bursátiles y financieros
title_short A factor model of term structure slopes in eurocurrency markets
title_full A factor model of term structure slopes in eurocurrency markets
title_fullStr A factor model of term structure slopes in eurocurrency markets
title_full_unstemmed A factor model of term structure slopes in eurocurrency markets
title_sort A factor model of term structure slopes in eurocurrency markets
dc.creator.none.fl_str_mv Novales Cinca, Alfonso Santiago
Domínguez Irastorza, Emilio
author Novales Cinca, Alfonso Santiago
author_facet Novales Cinca, Alfonso Santiago
Domínguez Irastorza, Emilio
author_role author
author2 Domínguez Irastorza, Emilio
author2_role author
dc.contributor.none.fl_str_mv Universidad Complutense de Madrid
dc.subject.none.fl_str_mv E37
E43
Term structure of interest rates
Term structure slope
Principal components
Eurocurrencies
Mercados bursátiles y financieros
topic E37
E43
Term structure of interest rates
Term structure slope
Principal components
Eurocurrencies
Mercados bursátiles y financieros
description 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.
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/20.500.14352/64514
url https://hdl.handle.net/20.500.14352/64514
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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