The term structure of interest rates as predictor of stock returns: Evidence for the IBEX 35 during a bear market

Title:	The term structure of interest rates as predictor of stock returns: Evidence for the IBEX 35 during a bear market
Authors:	Fernández Pérez, Adrián Fernández Rodríguez, Fernando Sosvilla Rivero, Simón
UNESCO Clasification:	53 Ciencias económicas
Keywords:	Stock returns Trading strategies Term structure of interest rates
Issue Date:	2014
Project:	Nuevas Metodologías en la Estimación de la Etti. Aplicaciones en Las Estrategias de Gestión de Renta Fija y en la Predicción Del Ciclo Económico. El Comportamiento de Los Mercados Cambiarios: Nueva Información, Capacidad Predictiva y Regímenes Cambiarios.
Journal:	International Review of Economics and Finance
Abstract:	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.
URI:	http://hdl.handle.net/10553/49182
ISSN:	1059-0560
DOI:	10.1016/j.iref.2013.12.004
Source:	International Review of Economics and Finance[ISSN 1059-0560],v. 31 (C), p. 21-33
Appears in Collections:	Artículos

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