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A Non-parametric Approach to Model the Term Structure of Interest Rates: The Case of Chile

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  • Viviana Fernández

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Abstract

Numerous 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 Info

Paper provided by Centro de Economía Aplicada, Universidad de Chile in its series Documentos de Trabajo with number 97.

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Date of creation: 2001
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Handle: RePEc:edj:ceauch:97

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Web page: http://www.dii.uchile.cl/cea/
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  1. Chan, K C, et al, 1992. " An Empirical Comparison of Alternative Models of the Short-Term Interest Rate," Journal of Finance, American Finance Association, vol. 47(3), pages 1209-27, July.
  2. Ait-Sahalia, Yacine, 1996. "Testing Continuous-Time Models of the Spot Interest Rate," Review of Financial Studies, Society for Financial Studies, vol. 9(2), pages 385-426.
  3. Ait-Sahalia, Yacine, 1996. "Nonparametric Pricing of Interest Rate Derivative Securities," Econometrica, Econometric Society, vol. 64(3), pages 527-60, May.
  4. MacKinnon, James G, 1994. "Approximate Asymptotic Distribution Functions for Unit-Root and Cointegration Tests," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(2), pages 167-76, April.
  5. Nelson, Charles R & Siegel, Andrew F, 1987. "Parsimonious Modeling of Yield Curves," The Journal of Business, University of Chicago Press, vol. 60(4), pages 473-89, October.
  6. Sharon Kozicki, 1997. "Predicting real growth and inflation with the yield spread," Economic Review, Federal Reserve Bank of Kansas City, issue Q IV, pages 39-57.
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Cited by:
  1. Juan Marcelo, Ochoa, 2006. "An Interpretation of An Affine Term Structure Model for Chile," MPRA Paper 1072, University Library of Munich, Germany.
  2. Nowman, Khalid Ben, 2010. "Modelling the UK and Euro yield curves using the Generalized Vasicek model: Empirical results from panel data for one and two factor models," International Review of Financial Analysis, Elsevier, vol. 19(5), pages 334-341, December.

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