The ECU term structure of interest rates

Abstract

This paper provides one of the few applications to the ECU curve of a Gaussian multifactor model of the term structure of interest rates. We estimate one, two and three factor Generalized Vaslcek models using panel data accounting for both the cross-sectional and dynamic implications of the yield curve to be taken into account. Our empirical results indicate that the model provides a good description of the ECU yield curve.