We analyze the performance of the Maastricht convergence criteria (inflation, long-term interest rate, annual and overall public debt) of the European Monetary Union (EMU) that led to the introduction of the Euro on Jan. 1st 1999 as book currency. Defining 3 regimes, 1992-97, 1997-1999 and...

We analyze the performance of the Maastricht convergence criteria (inflation, long-term interest rate, annual and overall public debt) of the European Monetary Union (EMU) that led to the introduction of the Euro on Jan. 1st 1999 as book currency. Defining 3 regimes, 1992-97, 1997-1999 and...

This paper compares six term structure estimation methods empirically in terms of zero and forward rate curves as well as ex ante price and yield prediction accuracy. Specifically, we use daily government bond quotations to generate true out-of-sample prediction errors based on the model's...