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Tasas de Interés Nominal de Corto Plazo en Chile: Una Comparación Empírica de sus Modelos

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Author Info
Franco Parisi

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Abstract

This article examines different one-factor models of the short-term nominal interest rate in Chile, concluding that the models best describing this behavior are those that allow the rate volatility not to be constant, a conclusion similarly reached by CKLS (1992) in the case of the U.S. economy. Furthermore, the control exhibited by the Central Bank of Chile over the short-term interest rate is reflected in a strong mean reversion of this rate. A solution to eliminate this mean reversion is the implementation of 42-and 90-day nominal bonds issue, so the Central bank would not have to support the non-expected inflation risk. Moreover, the results of the models examined in this paper are equally true during periods in which the monetary authority hold the real interest rate steady, indicating how robust those models are describing the behavior of the short term nominal interest rate change in Chile. With respect to individual and institutional investors, the results of this article are of great help in pricing contingent claims that are sensitive to the short term nominal interest rate. Furthermore, these models could be used to predict the behavior of the short-term nominal interest rate change and its volatility.

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Publisher Info
Article provided by Instituto de Economía. Pontificia Universidad Católica de Chile. in its journal Cuadernos de Economía.

Volume (Year): 35 (1998)
Issue (Month): 105 ()
Pages: 161-182
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Handle: RePEc:ioe:cuadec:v:35:y:1998:i:105:p:161-182

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Related research
Keywords: Chan; Karolyi; Longstaff y Sanders; Método Generalizado de Momentos; Reversión a la Media;

Find related papers by JEL classification:
E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Determination of Interest Rates; Term Structure of Interest Rates

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

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    Other versions:
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  18. Breeden, Douglas T & Gibbons, Michael R & Litzenberger, Robert H, 1989. " Empirical Tests of the Consumption-Oriented CAPM," Journal of Finance, American Finance Association, vol. 44(2), pages 231-62, June. [Downloadable!] (restricted)
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Full references

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. González, Manuel, 2004. "La Curva de Retorno y el Modelo C-CAPM: Evidencia para Chile," MPRA Paper 309, University Library of Munich, Germany. [Downloadable!]
  2. J.Marcelo Ochoa, 2006. "An interpretation of an affine term structure model of Chile," Estudios de Economia, University of Chile, Department of Economics, vol. 33(2 Year 20), pages 155-184, December. [Downloadable!]
    Other versions:
  3. Hortensia Fontanals Albiol & Sergio Zuniga, 2002. "Modelos de tasas de interes en Chile: una revision," Working Papers in Economics 87, Universitat de Barcelona. Espai de Recerca en Economia. [Downloadable!]
    Other versions:
  4. Fernando Rubio, 2004. "Eficiencia Simple Del Mercado De Renta Fija En Chile," Finance 0405009, EconWPA. [Downloadable!]
  5. Viviana Fernández, 1999. "Estructura de Tasas de Interés en Chile: La Vía No Paramétrica," Cuadernos de Economía (Latin American Journal of Economics), Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 36(109), pages 1005-1034. [Downloadable!]
  6. Marcelo Ochoa, 2006. "Interpreting an Affine Term Structure Model for Chile," Working Papers Central Bank of Chile 380, Central Bank of Chile. [Downloadable!]
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