A Non-parametric Approach to Model the Term Structure of Interest Rates: The Case of Chile
AbstractNumerous studies have resorted to parametric models to infer the shape of the term structure of interest rates. Recently, however, it has been shown that non-parametric techniques may be more adequate. This is an empirical study for Chile between December 1992 and April 1998. Monte Carlo simulations, based upon a non-parametric one-factor model, suggest that Chile’s downward-sloping term structure could be explained by the mean-reversion process in the data. The latter could reflect medium and long-term goals of monetary policy of the Central Bank of Chile. Some alternative explanations, such as that of the preferred habitats, might be also plausible.
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Bibliographic InfoPaper provided by Centro de Economía Aplicada, Universidad de Chile in its series Documentos de Trabajo with number 97.
Date of creation: 2001
Date of revision:
Other versions of this item:
- Fernandez, Viviana, 2001. "A nonparametric approach to model the term structure of interest rates: The case of Chile," International Review of Financial Analysis, Elsevier, vol. 10(2), pages 99-122.
- NEP-ALL-2002-05-03 (All new papers)
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