Modelos de Tasas de Interés en Chile: Una Revisión
AbstractThis work reviews the Level Model of the Interest Rates in Chile. In addi-tion to the traditional Level Models by Chan, Karoly, Longstaff and Sanders (1992) in the USA, and Parisi (1998) in Chile, by the Maximum Likelihood method, we allow the conditional volatility to also include the unexpected information processes (GARCH model) and also that the volatility be a function of the interest rate level (TVP-LEVEL model) as in Brenner, Harjes and Kroner (1996). For this, market yields from the Bonos de Reconocimiento(old system funds) are used as opposed to the monthly average yields from PDBC auctions, and enlarging the sample’s size and frequency to 4 weekly yields with different terms to maturity: 1 year, 5 years, 10 years and 15 years. The main results from the study can be summarized in that the volatility of the unexpected changes in rates depends positively on rate level, especially in the TVP-LEVEL model. We obtain mean reversion evidence, such that the increments in the interest rates were not independent, contrary to those obtained by Brenner et al. in the USA. The LEVEL models are not able to adjust appropriately the volatility in comparison to the GARCH(1,1) model, and finally, the TVP-LEVEL model does not overcome the results from the GARCH(1,1) model.
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Bibliographic InfoArticle provided by Instituto de Economía. Pontificia Universidad Católica de Chile. in its journal Cuadernos de Economía-Latin American Journal of Economics.
Volume (Year): 36 (1999)
Issue (Month): 108 ()
Other versions of this item:
- Sergio Zúñiga, 1999. "Modelos de Tasas de Interés en Chile: Una Revisión," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 36(108), pages 875-893.
- 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.
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
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