Term Structure of Interest Rates. European Financial Integration

Elisabet Ruiz Dotras, Hortensia Fontanals Albiol and Catalina Bolance Losilla
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Catalina Bolance Losilla: Universitat de Barcelona

No 163, Working Papers in Economics from Universitat de Barcelona. Espai de Recerca en Economia

Abstract: In this paper we estimate, analyze and compare the term structures of interest rates in six different countries over the period 1992-2004. We apply the Nelson-Siegel model to obtain the term structures of interest rates at weekly intervals. A total of 4,038 curves are estimated and analyzed. Four European Monetary Union countriesSpain, France, Germany and Italyare included. The UK is also included as a European non-member of the Monetary Union. Finally the US completes the analysis. The goal is to determine the differences in the shapes of the term structure of interest rates among these countries. Likewise, we can determine the most usual term structure shapes that appear for each country.

JEL-codes: C14 C51 C82 G15 (search for similar items in EconPapers)
Pages: 29 pages
Date: 2006
New Economics Papers: this item is included in nep-eec, nep-mac and nep-mon
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Citations: View citations in EconPapers (2)

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