Using the fama-bliss method to estimate the term structure of interest rates

  1. Suárez, José Luis Fanjul 1
  2. González Velasco, María del Carmen 1
  3. Rodriguez Fernández, María del Pilar 1
  1. 1 Universidade de Leão
Tourism & Management Studies

ISSN: 2182-8466 2182-8458

Año de publicación: 2008

Título del ejemplar: Revista Encontros Científicos - Tourism & Management Studies

Número: 4

Páginas: 107-116

Tipo: Artículo

Otras publicaciones en: Tourism & Management Studies



  • Ciencias Sociales: C


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.