Using the fama-bliss method to estimate the term structure of interest rates
[EN] The objective of this paper is to provide a monthly estimation of term structure of spot interest rates and forward interest rates since the beginning of the European Monetary Union. In order to do this, we apply the Fama-Bliss method, the approximating functions of two of the methods most comm...
| Autores: | , , |
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| Tipo de recurso: | artículo |
| Estado: | Versión publicada |
| Fecha de publicación: | 2008 |
| País: | España |
| Institución: | Ajuntament de Barcelona |
| Repositorio: | BULERIA. Repositorio Institucional de la Universidad de León |
| OAI Identifier: | oai:buleria.unileon.es:10612/21265 |
| Acceso en línea: | https://www.tmstudies.net/index.php/ectms/article/view/57 https://hdl.handle.net/10612/21265 |
| Access Level: | acceso abierto |
| Palabra clave: | Contabilidad Economía Finanzas Term structure of interest rates Fama-Bliss method Bootstrapping method Estimation methods |
| Sumario: | [EN] The objective of this paper is to provide a monthly estimation of term structure of spot interest rates and forward interest rates since the beginning of the European Monetary Union. In order to do this, we apply the Fama-Bliss method, the approximating functions of two of the methods most commonly applied by the central banks, the Nelson and Siegel method (1987) and the Svensson method (1994) and two objective functions. Then, we compare the four options to decide which the most satisfactory procedure is. Subsequently we provide the chosen term structures of spot and forward interest rates. |
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