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Term structure of interest rate. european financial integration

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Author Info
Hortènsia Fontanals () (Faculty of Economics, University of Barcelona.)
Elisabet Ruiz () (Universitat Oberta de Catalunya.)
Catalina Bolancé () (Faculty of Economics, University of Barcelona.)
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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File URL: http://www.ub.edu/irea/working_papers/2006/200610.pdf
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Publisher 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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Web page: http://www.ub.edu/irea/
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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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Find related papers by JEL classification:
C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Semiparametric and Nonparametric Methods
C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
C82 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data
E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Determination of Interest Rates; Term Structure of Interest Rates
G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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This page was last updated on 2009-11-30.

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