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Eficiencia Simple Del Mercado De Renta Fija En Chile

Author

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  • Fernando Rubio

    (FERNCAPITAL S.A.)

Abstract

Al estudiar el mercado de renta fija en Chile a septiembre de 2002, se puede realizar dos conclusiones básicas. Primero, uno de los problemas iniciales a los que se enfrenta el gestor es que, en el universo considerado, muy pocos instrumentos entregan los vencimientos necesarios para cumplir adecuadamente los requerimientos de calce de largo plazo. Por la misma razón, hay pocos instrumentos que ofrezcan duraciones y convexidades para implementar una estrategia en la que la duración y convexidad de los activos supere ampliamente a la de los pasivos. Segundo, también se puede apreciar que el mercado es bastante eficiente en la valoración, es decir, no existen instrumentos que permitan encontrar para una misma duración, un amplio rango de convexidades o viceversa. Los únicos instrumentos que parecen escapar levemente a esta valoración son los bonos bullet en unidades de fomento del Banco Central.

Suggested Citation

  • Fernando Rubio, 2004. "Eficiencia Simple Del Mercado De Renta Fija En Chile," Finance 0405009, University Library of Munich, Germany.
    • Handle: RePEc:wpa:wuwpfi:0405009
    Note: Type of Document - pdf; pages: 24
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    File URL: https://econwpa.ub.uni-muenchen.de/econ-wp/fin/papers/0405/0405009.pdf
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    References listed on IDEAS

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    More about this item

    Keywords

    Chile; renta fija; bonos; inmunización; duración; convexidad;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies

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