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Term structure of interest rate. european financial integration

Author

Listed:
  • 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.

Suggested Citation

  • Hortènsia Fontanals & Elisabet Ruiz & Catalina Bolancé, 2006. "Term structure of interest rate. european financial integration," IREA Working Papers 200610, University of Barcelona, Research Institute of Applied Economics, revised Dec 2006.
  • Handle: RePEc:ira:wpaper:200610
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    File URL: http://www.ub.edu/irea/working_papers/2006/200610.pdf
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    Cited by:

    1. Laudeline Auriol, 2010. "Doctorate Holders: Career, Demand, International Mobility," Foresight and STI Governance (Foresight-Russia till No. 3/2015), National Research University Higher School of Economics, vol. 4(4), pages 26-41.

    More about this item

    Keywords

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

    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

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