Term Structure in the European Interbank Market

  1. María del Carmen González Velasco 1
  2. José Luis Fanjul Suárez 1
  3. María del Pilar Rodríguez Fernández 1
  1. 1 Universidad de León

    Universidad de León

    León, España

    ROR https://ror.org/02tzt0b78

Tourism & Management Studies

ISSN: 2182-8466 2182-8458

Year of publication: 2007

Issue Title: Revista Encontros Científicos

Issue: 3

Pages: 7-11

Type: Article

More publications in: Tourism & Management Studies



  • Social Sciences: C


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).