Term structure of interest rates
The term structure of interes rates in the debt securities market shows the connection between the interest rates and maturities of default-free zero coupon bonds. The data on the term structure of interest rates published here are estimated values calculated on the basis of observed yields on coupon bonds outstanding.
For more information on this topic, see “Calculation of data on the term structure of interest rates” on pp 23-24 of Statistical Supplement, Capital market statistics, and “Estimating the term structure of interest rates” on pp 61-66 of the October 1997 edition of the Monthly Report.
The procedure is also described in detail in the discussion paper “Estimating the German term structure” by Sebastian T Schich.