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

被引：22

作者：

Fernandez-Perez, Adrian ^{[1
]}

Fernandez-Rodriguez, Fernando ^{[2
]}

Sosvilla-Rivero, Simon ^{[3
]}

机构：

[1] Auckland Univ Technol, Dept Finance, Private Bag 92006, Auckland 1142, New Zealand

[2] Univ Las Palmas Gran Canaria, Fac Ciencias Econ & Empresariales, Dept Metodos Cuantitat, Las Palmas Gran Canaria 35017, Spain

[3] Univ Complutense Madrid, Fac Ciencias Econ & Empresariales, Dept Econ Cuantitat, Madrid 28223, Spain

来源：

INTERNATIONAL REVIEW OF ECONOMICS & FINANCE | 2014年 / 31卷

关键词：

Term structure of interest rates; Stock returns; Trading strategies; ANTE RISK PREMIUM; YIELD CURVE; MACROECONOMIC VARIABLES; FINANCIAL VARIABLES; US RECESSIONS; SPREADS; GROWTH; MODELS; POWER; TIME;

D O I：

10.1016/j.iref.2013.12.004

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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. (C) 2013 Elsevier Inc. All rights reserved.

引用

页码：21 / 33

页数：13

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