A Factor Model of Term Structure Slopes in Eurocurrency Markets

Emilio Dominguez and Alfonso Novales ()

Applied Economics Letters, 2002, vol. 9, issue 9, pages 585-93

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. Copyright 2002 by Taylor and Francis Group

Date: 2002

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Working Paper: A factor model of term structure slopes in eurocurrency markets (2002)
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