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Impacto de la Sorpresa Inflacionaria en Mercado de Renta Fija y su Derivado

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  • Sindy Olea

Abstract

The purpose of this document is to study the impact of inflation surprises in nominal and real benchmark bonds, and to compare these results with the response on the derivate market, Swap Promedio Cámara (SPC) both pesos and UF. This analysis is relevant because the prices of financial assets of the fixed income market have implicit future inflation expectations, therefore to quantify the impact of an inflation surprise on fixed income rates enables to evaluate market overreactions and possible changes in investment strategies of different market players involved in the fixed income market and its derivative.

Suggested Citation

  • Sindy Olea, 2014. "Impacto de la Sorpresa Inflacionaria en Mercado de Renta Fija y su Derivado," Economic Statistics Series 104, Central Bank of Chile.
    • Handle: RePEc:chb:bcchee:104
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    File URL: https://si2.bcentral.cl/public/pdf/estudios-economicos-estadisticos/pdf/see104.pdf
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    References listed on IDEAS

    as
    1. Claudia Sotz P. & Felipe Alarcón G., 2007. "Mercado Swap de Tasas de Interés y Expectativas de TPM e Inflación," Notas de Investigación Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 10(2), pages 97-102, August.
    2. Jorge Meyer de P., 2006. "Impacto de las Sorpresas Económicas en el Rendimiento de los Bonos del Banco Central de Chile," Notas de Investigación Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 9(2), pages 61-71, August.
    3. Matías Bernier B & Felipe Alarcón G. ., 2009. "Diferencias en Medidas de Compensación Inflacionaria y Swap Spread," Notas de Investigación Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 12(1), pages 105-116, April.
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