Euro Area Interest Rates
< < >-< OECD.Stat
Source
Source Direct source Direct sourceEuropean Central Bank (ECB)
Population & Scope Population & Scope Geographic coverage Geographic coverage Data is referring to the evolving composition of the Euro area. Data prior to 2001 refer to EU11 (Belgium, Germany, Ireland, Spain, France, Italy, Luxembourg, the Netherlands, Austria, Portugal and Finland). Data from 2001 to 2006 refer to EU12 (EU11 plus Greece). Starting in January 2007, data refer to EU13 (EU12 plus Slovenia).
European Central Bank (ECB)
Data is referring to the evolving composition of the Euro area. Data prior to 2001 refer to EU11 (Belgium, Germany, Ireland, Spain, France, Italy, Luxembourg, the Netherlands, Austria, Portugal and Finland). Data from 2001 to 2006 refer to EU12 (EU11 plus Greece). Starting in January 2007, data refer to EU13 (EU12 plus Slovenia).
Euro Area Long-term interest rates, Per cent per annum
Source Source Source Periodicity Source PeriodicityNational yields are calculated by the ECB on the basis of individual yields taken from Reuters, who derive them from prices using the standard ISMA (International Securities Market Association) method. National rates are weighted by the nominal amounts outstanding in the maturity band. Monthly data are business daily averages. Quarterly and annual data are averages of monthly figures.
Concepts & Classifications Concepts & Classifications Key statistical concept Key statistical conceptData refer to central government bond yields on the secondary market, gross of tax, with around 10 years' residual maturity.
Other Aspects Other Aspects Quality comments Quality commentsPrior to 1999, weights are GDP converted using PPPs. The Euro yield curve is calculated daily and shows the structure of interest rates for maturities of nine months up to 15 years. It is based on yield observations of actively traded government bonds in Euros of the countries of the Euro-zone, weighted by the stock of bonds issued in Euros. The yields observed are calculated as yield-to-maturity using a standard ISMA bond market formula. The selected bonds have a nominal value of at least 500 million Euros and are highly liquid (measured by a bid / offer spread of less than 40 basis points) fixed coupon bonds without special features. No adjustments to the yields have been made for differences in coupon levels or for differences concerning taxation and regulation between capital markets. The yield curve is estimated by fitting to a polynomial-based regression using a standard ordinary least squares (OLS) technique.
National yields are calculated by the ECB on the basis of individual yields taken from Reuters, who derive them from prices using the standard ISMA (International Securities Market Association) method. National rates are weighted by the nominal amounts outstanding in the maturity band. Monthly data are business daily averages. Quarterly and annual data are averages of monthly figures.
Data refer to central government bond yields on the secondary market, gross of tax, with around 10 years' residual maturity.
Prior to 1999, weights are GDP converted using PPPs. The Euro yield curve is calculated daily and shows the structure of interest rates for maturities of nine months up to 15 years. It is based on yield observations of actively traded government bonds in Euros of the countries of the Euro-zone, weighted by the stock of bonds issued in Euros. The yields observed are calculated as yield-to-maturity using a standard ISMA bond market formula. The selected bonds have a nominal value of at least 500 million Euros and are highly liquid (measured by a bid / offer spread of less than 40 basis points) fixed coupon bonds without special features. No adjustments to the yields have been made for differences in coupon levels or for differences concerning taxation and regulation between capital markets. The yield curve is estimated by fitting to a polynomial-based regression using a standard ordinary least squares (OLS) technique.
Interest Rates
Source Source Direct source Direct sourceIn nearly all instances, data are provided by the national central bank.
Data Characteristics Data Characteristics Concepts & Classifications Concepts & Classifications Key statistical concept Key statistical conceptInterest can be said to be the price paid by the borrower for the use of funds saved by the lender and the compensation to the lender for his deferring expenditures. This compensation comprises two elements, namely a payment equal to the loss of purchasing power of the principal during the term of the loan and a balance that represents the real interest accruing to the lender. However this simplicity does not extend into the area of rate determination since rates vary not only because of inflation, as implied above, but also because of a number of other influences, including:
- The amount, purpose and period of the transaction;
- The credit-worthiness of the borrower;
- The collateral offered and/or other guarantees/guarantors available;
- The competition for the transaction;
- Government policy.
As a consequence, there will be numerous rates applying to the large number of transactions that are in effect at any one time in any one country. While efforts have been made in the rate selection to ensure as much international comparability as possible, the fact remains that the institutional features of each member’s financial markets are distinct and often markedly different from those of other members. However, the intent is to present for each country a range of rates, from ‘overnight’ through ‘short-term’ to ‘long-term’. In general, ‘overnight’ and ‘short term’ rates relate to money market instruments, while ‘long term’ rates are secondary market yields of long term (usually 10 year) bonds.
- The amount, purpose and period of the transaction;
- The credit-worthiness of the borrower;
- The collateral offered and/or other guarantees/guarantors available;
- The competition for the transaction;
- Government policy.
As a consequence, there will be numerous rates applying to the large number of transactions that are in effect at any one time in any one country. While efforts have been made in the rate selection to ensure as much international comparability as possible, the fact remains that the institutional features of each member’s financial markets are distinct and often markedly different from those of other members. However, the intent is to present for each country a range of rates, from ‘overnight’ through ‘short-term’ to ‘long-term’. In general, ‘overnight’ and ‘short term’ rates relate to money market instruments, while ‘long term’ rates are secondary market yields of long term (usually 10 year) bonds.
Aggregation & consolidation Aggregation & consolidationMonthly figures shown are calculated as the average of weighted or unweighted arithmetic rates relating to all days or specified days in the month or they refer to a day at or near month’s end. For short and long term interest rates, annual and quarterly data are normally averages of monthly figures, while for ‘overnight’ rates, annual and quarterly data usually refer to the figure for the final month of the period.
In nearly all instances, data are provided by the national central bank.
OECD statistics contact: stat.contact@oecd.org
Interest can be said to be the price paid by the borrower for the use of funds saved by the lender and the compensation to the lender for his deferring expenditures. This compensation comprises two elements, namely a payment equal to the loss of purchasing power of the principal during the term of the loan and a balance that represents the real interest accruing to the lender. However this simplicity does not extend into the area of rate determination since rates vary not only because of inflation, as implied above, but also because of a number of other influences, including:
- The amount, purpose and period of the transaction;
- The credit-worthiness of the borrower;
- The collateral offered and/or other guarantees/guarantors available;
- The competition for the transaction;
- Government policy.
As a consequence, there will be numerous rates applying to the large number of transactions that are in effect at any one time in any one country. While efforts have been made in the rate selection to ensure as much international comparability as possible, the fact remains that the institutional features of each member’s financial markets are distinct and often markedly different from those of other members. However, the intent is to present for each country a range of rates, from ‘overnight’ through ‘short-term’ to ‘long-term’. In general, ‘overnight’ and ‘short term’ rates relate to money market instruments, while ‘long term’ rates are secondary market yields of long term (usually 10 year) bonds.
- The amount, purpose and period of the transaction;
- The credit-worthiness of the borrower;
- The collateral offered and/or other guarantees/guarantors available;
- The competition for the transaction;
- Government policy.
As a consequence, there will be numerous rates applying to the large number of transactions that are in effect at any one time in any one country. While efforts have been made in the rate selection to ensure as much international comparability as possible, the fact remains that the institutional features of each member’s financial markets are distinct and often markedly different from those of other members. However, the intent is to present for each country a range of rates, from ‘overnight’ through ‘short-term’ to ‘long-term’. In general, ‘overnight’ and ‘short term’ rates relate to money market instruments, while ‘long term’ rates are secondary market yields of long term (usually 10 year) bonds.
Monthly figures shown are calculated as the average of weighted or unweighted arithmetic rates relating to all days or specified days in the month or they refer to a day at or near month’s end. For short and long term interest rates, annual and quarterly data are normally averages of monthly figures, while for ‘overnight’ rates, annual and quarterly data usually refer to the figure for the final month of the period.
Long-term interest rates, Per cent per annum
Data Characteristics Data Characteristics Unit of measure used Unit of measure used
Percentage
Concepts & Classifications Concepts & Classifications Key statistical concept Key statistical conceptLong term (in most cases 10 year) government bonds are the instrument whose yield is used as the representative ‘interest rate’ for this area. Generally the yield is calculated at the pre-tax level and before deductions for brokerage costs and commissions and is derived from the relationship between the present market value of the bond and that at maturity, taking into account also interest payments paid through to maturity.
Long term (in most cases 10 year) government bonds are the instrument whose yield is used as the representative ‘interest rate’ for this area. Generally the yield is calculated at the pre-tax level and before deductions for brokerage costs and commissions and is derived from the relationship between the present market value of the bond and that at maturity, taking into account also interest payments paid through to maturity.