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International term structure of interest rates in the Euro area

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  • Shigeyuki Hamori
  • Naoko Hamori

Abstract

This article empirically analyses the international term structure of interest rates in the Euro area over the period from 1999 to 2006. To address the small sample problem, we apply the nonstationary panel data analysis to two data sets: (1) seven countries (Belgium, Finland, France, Germany, Italy, the Netherlands and Spain) from 1999 to 2006 and (2) eight countries (Belgium, Finland, France, Germany, Greece, Italy, the Netherlands and Spain) from 2001 to 2006. Our results support the expectations theory of the term structure of interest rates.

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  • Shigeyuki Hamori & Naoko Hamori, 2009. "International term structure of interest rates in the Euro area," Applied Economics Letters, Taylor & Francis Journals, vol. 16(11), pages 1113-1116.
    • Handle: RePEc:taf:apeclt:v:16:y:2009:i:11:p:1113-1116
    DOI: 10.1080/17446540802389040
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    Cited by:

    1. Shigeyuki Hamori & Naoko Hamori, 2009. "Introduction of the Euro and the Monetary Policy of the European Central Bank," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 7169.

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