Testing the shape of EMU term structure of interest rates

The creation of EMU raises the question whether the common monetary policy has the same impact in all member countries. We analyse the convergence of interest rates in four major EMU countries from 1999 to 2007. We suggest to test the convergence of the interest rates with the full term structure of interest rates with both univariate and multivariate inference. The results show that the curvature component is statistically equal in all years and the level and slope components are statistically equal only in the early years of the EMU if we consider the four countries. If we consider Germany, France and Spain, the level and slope factors are statistically equal in all the sample period. In conclusion, a unique monetary policy affects mainly in the curvature of the term structure but it is not enough to ensure a unique yield curve in the Euro area.