A factor model of term structure slopes in Eurocurrency markets

Emilio Domínguez Irastorza and Alfonso Novales

Applied Economics Letters, 2002, vol. 9, issue 9, 585-593

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.

Date: 2002
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Working Paper: A factor model of term structure slopes in eurocurrency markets (2002)
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Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:9:y:2002:i:9:p:585-593

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DOI: 10.1080/13504850110111199

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