Term Structure in the European Interbank Market

María del Carmen González Velasco, José Luis Fanjul Suárez, Pilar Rodríguez Fernández


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).


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

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