Term structure of interest rate. european financial integration

Hortènsia Fontanals (), Elisabet Ruiz () and Catalina Bolancé ()
Additional contact information
Hortènsia Fontanals: Faculty of Economics, University of Barcelona.
Elisabet Ruiz: Universitat Oberta de Catalunya.
Catalina Bolancé: Faculty of Economics, University of Barcelona.

No 200610, IREA Working Papers from University of Barcelona, Research Institute of Applied Economics

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.

Keywords: Term structure of interest rate; parsimonious models; level parameter; slope parameter; European interest rate. (search for similar items in EconPapers)
JEL-codes: C14 C51 C82 E43 G15 (search for similar items in EconPapers)
Pages: 30 pages
Date: 2006-12, Revised 2006-12
New Economics Papers: this item is included in nep-cba, nep-eec, nep-fmk, nep-mac and nep-mon
References: View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:ira:wpaper:200610

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