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: 	Dynamic correlations and forecasting of term structure slopes in eurocurrency market
Abstract: Using monthly data on Euro-rates for 1979-1998, we examine the extent to which crosscountry information 
	on term structure slopes can be used to improve upon univariate slope forecasts. This is interesting from 
	the point of view of forecasting economic activity, since term structure slopes are known to anticipate 
	fluctuations in the real economy. Additionally, the Expectations Hypothesis states that the term structure 
	slope summarizes the available information which is relevant for forecasting future short-term interest 
	rates, so that improved slope forecasts might also lead to better forecasts of future interest rates. 
	We find ample evidence of significant explanatory power in term structure slopes across countries. Besides, we 
	document that this information content leads to improved forecasts of the term structure slope in some countries, 
	using a foreign slope as indicator.
Classification-JEL: E37, E43
Keywords: Term structure of interest rates, Term structure slope, Expectations hypothesis, Eurocurrencies.
Length: 15 pages
Creation-Date: 2002 
X-File-Ref: http://america.sim.ucm.es/repec/ucm/ref/doicae0226.txt
File-URL: https://eprints.ucm.es/id/eprint/7688/1/0226.pdf
File-Format: Application/pdf
Handle: RePEc:ucm:doicae:0226