Estimación del spread de tasas de corto y largo plazo: Un indicador de alerta temprana
[An estimation of short and long term rates spread: a leading indicator]
AbstractThe relation between short and long term rates spread and economic growth has been widely argued on the international literature. Evidence from developed countries shows that the term structure of interest rates, frequently, contains relevant information concerning the economic growth dynamics. In many cases, the recession periods on the economy has been preceded by negative spreads, that means the short term interest rates exceed the long term ones (an interest rate reversion). Lately in Chile, it has been observed a greater convergence between short term interest rates (measured by the monetary policy real interest rate) and long term interest rates (measured by the 15 years mortgage rate). In fact, if we consider that the interest rate spread could be a leading indicator for future economic activity it would be interesting to know the spread evolution. The objective of this paper is to measure statistically the persistence of the present spread and estimate its long term evolution. The main finding is that the spread level is likely to stay on a low spread and volatility regime, but the statistic evidence does not show that the economy presents an interest rate reversion on the long run. Then, the most likely scenario is that on the long run the economy presents a growth rate similar to its potential.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 11116.
Date of creation: 04 Dec 2006
Date of revision: 12 Mar 2007
Spread de tasas; distribuciones mixtas; cadenas de Markov;
Find related papers by JEL classification:
- C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Luis Eduardo Arango & Luz Adriana Flórez & Angélica María Arosemena, 2003.
"El tramo corto de la estructura a plazo como predictor de expectativas de la actividad económica en Colombia,"
BORRADORES DE ECONOMIA
002559, BANCO DE LA REPÚBLICA.
- Luis E Arango & Luz Adriana Flórez & Angélica M Arosemena, 2005. "El Tramo Corto de la Estructura a Plazo como Predictor de Expectativas de la Actividad Económica en Colombia," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 42(125), pages 79-101.
- Luis Eduardo Arango & Luz Adriana Flórez & Angélica María Arosemena, . "El Tramo Corto de la Estructura a Plazo como Predictor de Expectativas de la Actividad Económica en Colombia," Borradores de Economia 279, Banco de la Republica de Colombia.
- Estrella, Arturo & Hardouvelis, Gikas A, 1991.
" The Term Structure as a Predictor of Real Economic Activity,"
Journal of Finance,
American Finance Association, vol. 46(2), pages 555-76, June.
- Arturo Estrella & Gikas A. Hardouvelis, 1989. "The term structure as a predictor of real economic activity," Research Paper 8907, Federal Reserve Bank of New York.
- Christian Johnson, 2001.
"Un Modelo de Switching para el Crecimiento en Chile,"
Latin American Journal of Economics-formerly Cuadernos de Economía,
Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 38(115), pages 291-319.
- Christian A. Johnson, 2000. "Un Modelo de Switching para el Crecimiento en Chile," Working Papers Central Bank of Chile 84, Central Bank of Chile.
- Zuliu Hu, 1993. "The Yield Curve and Real Activity," IMF Working Papers 93/19, International Monetary Fund.
- Bernard, Henri J & Gerlach, Stefan, 1998.
"Does the Term Structure Predict Recessions? The International Evidence,"
CEPR Discussion Papers
1892, C.E.P.R. Discussion Papers.
- Bernard, Henri & Gerlach, Stefan, 1998. "Does the Term Structure Predict Recessions? The International Evidence," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 3(3), pages 195-215, July.
- Henri Bernard & Stefan Gerlach, 1996. "Does the term structure predict recessions? The international evidence," BIS Working Papers 37, Bank for International Settlements.
- Arturo Estrella & Frederic S. Mishkin, 1996. "The yield curve as a predictor of U.S. recessions," Current Issues in Economics and Finance, Federal Reserve Bank of New York, vol. 2(Jun).
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ekkehart Schlicht).
If references are entirely missing, you can add them using this form.