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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]

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  • Idrovo Aguirre, Byron

Abstract

The 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.

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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 11116.

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Date of creation: 04 Dec 2006
Date of revision: 12 Mar 2007
Handle: RePEc:pra:mprapa:11116

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Related research

Keywords: Spread de tasas; distribuciones mixtas; cadenas de Markov;

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  1. Henri Bernard & Stefan Gerlach, 1996. "Does the term structure predict recessions? The international evidence," BIS Working Papers 37, Bank for International Settlements.
  2. 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.
  3. 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, Federal Reserve Bank of New York, vol. 2(Jun).
  4. Arturo Estrella & Gikas A. Hardouvelis, 1989. "The term structure as a predictor of real economic activity," Research Paper, Federal Reserve Bank of New York 8907, Federal Reserve Bank of New York.
  5. Zuliu Hu, 1993. "The Yield Curve and Real Activity," IMF Working Papers 93/19, International Monetary Fund.
  6. Christian A. Johnson, 2000. "Un Modelo de Switching para el Crecimiento en Chile," Working Papers Central Bank of Chile, Central Bank of Chile 84, Central Bank of Chile.
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