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Expectativas Financieras y la Curva de Tasas Forward de Chile

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  • Luis Oscar Herrera
  • Igal Magendzo
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    Abstract

    The goal of this paper is to develop a methodology to estimate the forward interest rate curves for Central Bank bonds. The paper uses the methodology proposed by Nelson and Siegel (1987) based on a parametric model of the forward curve. An advantage of this parametric estimation is that -with a reduced number of parameters- it is flexible enough to describe the different shapes that term structure typically takes.

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    File URL: http://www.bcentral.cl/estudios/documentos-trabajo/pdf/DTBC23A.PDF
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    File URL: http://www.bcentral.cl/estudios/documentos-trabajo/pdf/DTBC23B.PDF
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    Bibliographic Info

    Paper provided by Central Bank of Chile in its series Working Papers Central Bank of Chile with number 23.

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    Date of creation: Oct 1997
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    Handle: RePEc:chb:bcchwp:23

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    Cited by:
    1. 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.
    2. Fernando Rubio, 2004. "Eficiencia Simple Del Mercado De Renta Fija En Chile," Finance 0405009, EconWPA.

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