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
    info

    Universidad de León

    León, España

    ROR https://ror.org/02tzt0b78

Journal:
Tourism & Management Studies

ISSN: 2182-8466,  2182-8458

Year of publication: 2007

Issue Title: Revista Encontros Científicos

Issue: 3

Pages: 7-11

Type: Article

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  • Social Sciences: C
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Abstract

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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