کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5083557 1477811 2014 13 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
The term structure of interest rates as predictor of stock returns: Evidence for the IBEX 35 during a bear market
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
The term structure of interest rates as predictor of stock returns: Evidence for the IBEX 35 during a bear market
چکیده انگلیسی
A Probit model to forecast the probability of bear markets in the Spanish IBEX 35 is presented, being the explanatory factors selected from a wide set of economic variables like the yield curve of Spain, US and Europe, several macro variables, and numerous leading indicators. A data-guided algorithm is used to render a concise parameterization of this optimal model. Our results suggest that the slopes of US and Europe yield curves have some information content (not implicitly present in the slope of the Spanish yield curve) that helps to better forecast the probability of bear markets.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Review of Economics & Finance - Volume 31, May 2014, Pages 21-33
نویسندگان
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