Term Structure in the European Interbank Market
[EN] The objective of this paper is to provide a monthly estimation of the interest rate term structure in the European interbank market since the beginning of the European Monetary Union. In order to do this, we apply the Fama-Bliss bootstrapping method with the approximating function of one of the...
| Autores: | , , |
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| Tipo de recurso: | artículo |
| Estado: | Versión publicada |
| Fecha de publicación: | 2007 |
| País: | España |
| Institución: | Ajuntament de Barcelona |
| Repositorio: | BULERIA. Repositorio Institucional de la Universidad de León |
| OAI Identifier: | oai:buleria.unileon.es:10612/21267 |
| Acceso en línea: | https://www.tmstudies.net/index.php/ectms/article/view/85 https://hdl.handle.net/10612/21267 |
| Access Level: | acceso abierto |
| Palabra clave: | Contabilidad Economía Finanzas Interest rate term structure Interbank interest rates Swap interest rates Euribor Interbank market |
| Sumario: | [EN] The objective of this paper is to provide a monthly estimation of the interest rate term structure in the European interbank market since the beginning of the European Monetary Union. In order to do this, we apply the Fama-Bliss bootstrapping method with the approximating function of one of the methods most commonly applied by the central banks, the Nelson and Siegel method (1987). |
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