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

Brooks, C. ORCID: https://orcid.org/0000-0002-2668-1153 and Skinner, F. (2000) What will be the risk-free rate and benchmark yield curve following European monetary union? Applied Financial Economics, 10 (1). pp. 59-69. ISSN 0960-3107 doi: 10.1080/096031000331932

Abstract/Summary

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.

Item Type	Article
URI	https://reading-clone.eprints-hosting.org/id/eprint/35966
Identification Number/DOI	10.1080/096031000331932
Refereed	Yes
Divisions	Henley Business School > Finance and Accounting
Publisher	Taylor and Francis
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