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Term structure of interest rate. european financial integration

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  • Hortènsia Fontanals

    ()
    (Faculty of Economics, University of Barcelona.)

  • Elisabet Ruiz

    ()
    (Universitat Oberta de Catalunya.)

  • Catalina Bolancé

    ()
    (Faculty of Economics, University of Barcelona.)

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    Abstract

    In this paper we estimate, analyze and compare the term structures of interest rate in six different countries, during the period 1992-2004. We apply Nelson and Siegel model to obtain them with a weekly frequency. Four European Monetary Union countries, Spain, France, Germany and Italy are included. UK is also included as a European country, but not integrated in the Monetary Union. Finally US completes the analysis. The goal is to determine the differences in the shape of curves between these countries. Likewise, we can determinate the most usual term structure shapes that appear in every country.

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    Bibliographic Info

    Paper provided by University of Barcelona, Research Institute of Applied Economics in its series IREA Working Papers with number 200610.

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    Length: 30 pages
    Date of creation: Dec 2006
    Date of revision: Dec 2006
    Handle: RePEc:ira:wpaper:200610

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    Related research

    Keywords: Term structure of interest rate; parsimonious models; level parameter; slope parameter; European interest rate.;

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