González-Velasco, Carmen
[VerfasserIn]
;
Fanjul-Suárez, José Luis
[Sonstige Person, Familie und Körperschaft];
Rodríguez-Fernández, Pilar
[Sonstige Person, Familie und Körperschaft]
Using the Fama-Bliss Method to Estimate the Term Structure of Interest Rates
Anmerkungen:
In: Encontros Científicos - Tourism & Management Studies, No. 8, pp. 107-116, 2008
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments 2008 erstellt
Beschreibung:
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 metido, 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