Template-type: ReDIF-Paper 1.0
Author-Name: Alfonso Novales 
Author-Email: anovales@ccee.ucm.es
Author-Homepage: https://www.ucm.es/fundamentos-analisis-economico2/novales-cinca,-alfonso
Author-Person: pno7
Author-Workplace-Name: Departamento de Economía Cuantitativa. Universidad Complutense de Madrid
Author-Workplace-Homepage: https://www.ucm.es/fundamentos-analisis-economico2
Author-Name: Emilio Domínguez
Author-Workplace-Name: Departamento de Fundamentos del Análisis Económico. Universidad Pública de Navarra.
Title: A factor model of term structure slopes in eurocurrency markets
Abstract: 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.
Classification-JEL: E37, E43
Keywords: Term structure of interest rates, Term structure slope, Principal components, Eurocurrencies.
Length: pages 16
Creation-Date: 2002
X-File-Ref: http://america.sim.ucm.es/repec/ucm/ref/doicae0224.txt
File-URL: https://eprints.ucm.es/id/eprint/7683/1/0224.pdf
File-Format: Application/pdf
Handle: RePEc:ucm:doicae:0224