Term structure of interest rate. european financial integration
AbstractIn 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 InfoPaper provided by University of Barcelona, Research Institute of Applied Economics in its series IREA Working Papers with number 200610.
Length: 30 pages
Date of creation: Dec 2006
Date of revision: Dec 2006
Term structure of interest rate; parsimonious models; level parameter; slope parameter; European interest rate.;
Find related papers by JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- 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; Data Access
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
This paper has been announced in the following NEP Reports:
- NEP-ALL-2007-01-28 (All new papers)
- NEP-CBA-2007-01-28 (Central Banking)
- NEP-EEC-2007-01-28 (European Economics)
- NEP-FMK-2007-01-28 (Financial Markets)
- NEP-MAC-2007-01-28 (Macroeconomics)
- NEP-MON-2007-01-28 (Monetary Economics)
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