English, Article, Journal or magazine article edition: Term structure of interest rate. european financial integration. Hortènsia Fontanals; Elisabet Ruiz; Catalina Bolancé

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Bookmark: http://trove.nla.gov.au/version/36141
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Term structure of interest rate. european financial integration.
Author
  • Hortènsia Fontanals
  • Elisabet Ruiz
  • Catalina Bolancé
Physical Description
  • preprint
Notes
  • 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.
  • Term structure of interest rate, parsimonious models, level parameter, slope parameter, European interest rate.
  • RePEc:ira:wpaper:200610
Language
  • English
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