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Term Structure of Interest Rates. European Financial Integration

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  • Elisabet Ruiz Dotras
  • Hortensia Fontanals Albiol
  • Catalina Bolance Losilla

    (Universitat de Barcelona)

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    Abstract

    In this paper we estimate, analyze and compare the term structures of interest rates in six different countries over the period 1992-2004. We apply the Nelson-Siegel model to obtain the term structures of interest rates at weekly intervals. A total of 4,038 curves are estimated and analyzed. Four European Monetary Union countriesSpain, France, Germany and Italyare included. The UK is also included as a European non-member of the Monetary Union. Finally the US completes the analysis. The goal is to determine the differences in the shapes of the term structure of interest rates among these countries. Likewise, we can determine the most usual term structure shapes that appear for each country.

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    File URL: http://www.ere.ub.es/dtreball/E06163.rdf/at_download/file
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    Bibliographic Info

    Paper provided by Universitat de Barcelona. Espai de Recerca en Economia in its series Working Papers in Economics with number 163.

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    Length: 29 pages
    Date of creation: 2006
    Date of revision:
    Handle: RePEc:bar:bedcje:2006163

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    Postal: Espai de Recerca en Economia, Facultat de Ciències Econòmiques. Tinent Coronel Valenzuela, Num 1-11 08034 Barcelona. Spain.
    Web page: http://www.ere.ub.es
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