Expectativas Financieras y la Curva de Tasas Forward de Chile
AbstractThe 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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Bibliographic InfoPaper provided by Central Bank of Chile in its series Working Papers Central Bank of Chile with number 23.
Date of creation: Oct 1997
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- 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.
- Juan Marcelo, Ochoa, 2006. "An Interpretation of An Affine Term Structure Model for Chile," MPRA Paper 1072, University Library of Munich, Germany.
- Fernando Rubio, 2004. "Eficiencia Simple Del Mercado De Renta Fija En Chile," Finance 0405009, EconWPA.
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