Elisabet Ruiz Dotras Hortensia Fontanals Albiol Catalina Bolance Losilla (Universitat de Barcelona)
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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Publisher Info
Paper provided by Universitat de Barcelona. Espai de Recerca en Economia in its series Working Papers in Economics with number
163.
Length: 29 pages Date of creation: 2006 Date of revision: Handle: RePEc:bar:bedcje:2006163
Contact details of provider: 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 More information through EDIRC
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Find related papers by JEL classification: C82 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data G15 - Financial Economics - - General Financial Markets - - - International Financial Markets C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Semiparametric and Nonparametric Methods
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