What will be the risk-free rate and benchmark yield curve following European monetary union?

Chris Brooks, Frank Skinner

Research output: Contribution to journalArticle (Academic Journal)peer-review

3 Citations (Scopus)

Abstract

Using a linear factor model, we study the behaviour of French, Germany, Italian and British sovereign yield curves in the run up to EMU. This allows us to determine which of these yield curves might best approximate a benchmark yield curve post EMU. We find that the best approximation for the risk free yield is the UK three month T-bill yield, followed by the German three month T-bill yield. As no one sovereign yield curve dominates all others, we find that a composite yield curve, consisting of French, Italian and UK bonds at different maturity points along the yield curve should be the benchmark post EMU.
Original languageEnglish
Pages (from-to)59-69
Number of pages11
JournalApplied Financial Economics
Volume10
Issue number1
DOIs
Publication statusPublished - 2000

Fingerprint

Dive into the research topics of 'What will be the risk-free rate and benchmark yield curve following European monetary union?'. Together they form a unique fingerprint.

Cite this