Estructura de tasas de interés en Chile: ¿Qué tan buen predictor de crecimiento e inflación?
AbstractBased upon Granger causality and Pesaran-Shin’s generalized impulse-response functions, this paper studies the link between the term structure and economic growth, and the link between the term structure and actual and expected percent changes of the Consumer Price Index (CPI) in Chile. Our measure of economic growth is the percent variation in the Monthly Indicator of Economic Activity of the Central Bank of Chile (IMACEC). The slope and the level of the term structure are captured, respectively, by the spread of long and short-term interest rates -in real and nominal terms-, and the short real rate. Our main findings can be summarized as follows. First, when considering a short-term horizon, the relationship between the percent change in the IMACEC, the spread of nominal and real rates, and the level of the short real rate is, in general, weak in statistical terms. For a longer-term horizon, the strongest relationship is that observed between the level of the short real rate and the 12-month percent variation in the IMACEC. Second, the link between inflation and the nominal spread of interest rates is weak, especially for a long-term horizon. Moreover, changes in the CPI seem to have more predictive power to explain changes in the spread of nominal interest rates than vice versa. We believe that one explanation may be the price inertia existing in the Chilean economy due to indexation. Indeed, it is possible that changes in expected inflation transmit to the spread of nominal interest rates faster than they do to actual inflation.
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Bibliographic InfoPaper provided by Centro de Economía Aplicada, Universidad de Chile in its series Documentos de Trabajo with number 89.
Date of creation: 2000
Date of revision:
Other versions of this item:
- Viviana Fernández, 2000. "Estructura de Tasas de Interés en Chile: ¿Qué tan Buen Predictor de Crecimiento e Inflación?," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 37(111), pages 373-404.
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
This paper has been announced in the following NEP Reports:
- NEP-ALL-2002-05-03 (All new papers)
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- Angélica Arosemena, . "Lecturas Alternativas de la Estructura a Plazo: Una Breve Revisión de literatura," Borradores de Economia 223, Banco de la Republica de Colombia.
- Sara G. Castellanos & Eduardo Camero, 2003. "La estructura temporal de tasas de interés en México: ¿Puede predecir la actividad económica futura?," Revista de Analisis Economico – Economic Analysis Review, Ilades-Georgetown University, Economics Department, vol. 18(2), pages 33-66, December.
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