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Term Structure of Interest Rates. European Financial Integration

Author

Listed:
  • 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.

Suggested Citation

  • Elisabet Ruiz Dotras & Hortensia Fontanals Albiol & Catalina Bolance Losilla, 2006. "Term Structure of Interest Rates. European Financial Integration," Working Papers in Economics 163, Universitat de Barcelona. Espai de Recerca en Economia.
    • Handle: RePEc:bar:bedcje:2006163
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    Cited by:

    1. Michael Artis & Ernest Miguélez & Rosina Moreno, 2009. "Assessing Agglomeration Economies in a Spatial Framework with Endogenous Regressors," SERC Discussion Papers 0023, Centre for Economic Performance, LSE.
    2. Juan Luis Jiménez & Jordi Perdiguero & Ancor Suárez, 2011. "Debating as a classroom tool for adapting learning outcomes to the European higher education area," IREA Working Papers 201109, University of Barcelona, Research Institute of Applied Economics, revised Jun 2011.

    More about this item

    JEL classification:

    • C82 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data; Data Access
    • 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 and Methodology: General - - - Semiparametric and Nonparametric Methods: General

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