Abstract
Recent empirical work has documented the existence of specific information in the slope of the term structure which is relevant to forecast future changes in economic activity. A good forecasting model of term structure slopes could therefore be helpful to anticipate changes in economic activity with an even longer anticipation. Firstly, it is analysed whether a good forecasting model can be found for term structure slopes in different currencies. After that, a factor model is constructed of term structure slopes, and the quality of slope forecasts obtained from factor models are compared to those obtained from univariate models.