Term Structure in the European Interbank Market

Authors

  • María del Carmen González Velasco Universidade de Léon
  • José Luis Fanjul Suárez Universidade de Léon
  • Pilar Rodríguez Fernández Universidade de Léon

Keywords:

Interest Rate Term Structure, Interbank Interest Rates, Swap Interest Rates, Euribor, Interbank Market

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).

Author Biographies

  • María del Carmen González Velasco, Universidade de Léon
    PhD, Titular Professor of Financial Economics and Accounting, University of León, Spain
  • José Luis Fanjul Suárez, Universidade de Léon

    PhD in Management, Full Professor of Financial Economics and Accounting, University of León, Spain

  • Pilar Rodríguez Fernández, Universidade de Léon
    PhD, Titular Professor of Financial Economics and Accounting, University of León, Spain

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Published

31.12.2007

Issue

Vol. 3 (2007)

Section

Business/Management: Research Papers

License

The journal retains published articles’ copyrights, but they are simultaneously licensed under the Creative Commons Attribution License (CC BY-NC-ND), which allows individuals’ to share the relevant papers as long as authorship and publication in this journal are duly acknowledged.

How to Cite

González Velasco, M. del C., Fanjul Suárez, J. L., & Rodríguez Fernández, P. (2007). Term Structure in the European Interbank Market. Tourism & Management Studies, 3, 7-11. https://tmstudies.net/index.php/ectms/article/view/85

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