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

Authors

  • José Luis Fanjul Suárez Universidade de Leão
  • María del Carmen González Velasco Universidade de Leão
  • María del Pilar Rodriguez Fernández Universidade de Leão

Keywords:

Term Structure of Interest Rates – Fama-Bliss Method – Bootstrapping Method – Estimation Methods.

Abstract

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.

Author Biographies

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

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Published

31.12.2008

Issue

Vol. 4 (2008)

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

Suárez, J. L. F., González Velasco, M. del C., & Rodriguez Fernández, M. del P. (2008). Using the fama-bliss method to estimate the term structure of interest rates. Tourism & Management Studies, 4, 107-116. https://www.tmstudies.net/index.php/ectms/article/view/57

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