REFERENCES Abad, P., and Novales, A., 2002, A forecasting comparison of alternative models for term structure slopes in IRS markets, manuscript, Universidad Complutense, Madrid. Domínguez, E., and A.Novales, 2002, A factor model of term structure slopes in Eurocurrency markets, Applied Economics Letters 9, 585-593. Domínguez, E., and A.Novales, 2000, Dynamic correlations and forecasting of term structure slopes in Eurocurrency markets, The International Journal of Finance 12, 3, 1807-1822. Estrella, A., and G.A.Hardouvelis, 1991, The term structure as a predictor of real economic activity, The Journal of Finance 46, 555-576. Hardouvelis, G.A., 1994, The term structure spread and future changes in long and short rates in the G7 countries, Journal of Monetary Economics, 25, 59-76. Knez, P.J., Litterman, R., and Scheinkman, J., 1994, Explorations into factors explaining money market returns, Journal of Finance 49, 1861-1882. Litterman, R., and Scheinkman, J., 1991, Common factor affecting bond returns, Journal of Fixed Income 1, 54-61. Plosser, C.I., and Rouwenhorst, K.G., 1994, International term structures and real economic growth, Journal of Monetary Economics, 22, 133-155. Steeley, J.M., 1990, Modeling the dynamics of the term structure of interest rates, The Economic and Social Review 21, 337-661. Stock, J., and M.Watson, 1988, Testing for common trends, Journal of the American Statistical Association, 1097-1107.