IDEAS home Printed from https://ideas.repec.org/a/chb/bcchec/v3y2000i2p31-52.html
   My bibliography  Save this article

The Structure of Real Interest Rates in Chile

Author

Listed:
  • Fernando Lefort G.
  • Eduardo Walker H.

Abstract

This paper describes the structure of real interest rates (the real yield curve) in Chile and shows its evolution through time. It provides a practical tool for the systematic study of the determinants of Chilean yield curves. Empirical estimations are based on transaction and auction data for Central Bank bonds and pension recognition bonds issued by the government, applying the Nelson and Siegel method. Estimation results are used to measure the liquidity premium in the market maker’s bond yield, simulate the evolution of the very short and long-term rates, and analyze issues of Central Bank zero-coupon bonds and the response of domestic interest rates to local and international economic events.

Suggested Citation

  • Fernando Lefort G. & Eduardo Walker H., 2000. "The Structure of Real Interest Rates in Chile," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 3(2), pages 31-52, August.
  • Handle: RePEc:chb:bcchec:v:3:y:2000:i:2:p:31-52
    as

    Download full text from publisher

    File URL: https://si2.bcentral.cl/public/pdf/revista-economia/2000/ago2000/rec_v3n2_pp31_52.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, vol. 5(2), pages 177-188, November.
    2. Lars E.O. Svensson, 1994. "Estimating and Interpreting Forward Interest Rates: Sweden 1992 - 1994," NBER Working Papers 4871, National Bureau of Economic Research, Inc.
    3. Jim Day & Ron Lange, 1997. "The Structure of Interest Rates in Canada: Information Content about Medium-Term Inflation," Staff Working Papers 97-10, Bank of Canada.
    4. Svensson, Lars E O, 1994. "Estimating and Interpreting Forward Interest Rates: Sweden 1992-4," CEPR Discussion Papers 1051, C.E.P.R. Discussion Papers.
    5. Svensson, L.E.O., 1993. "Monetary Policy with Flexible Exchange Rates and Foreward Interest Rates as Indicators," Papers 559, Stockholm - International Economic Studies.
    6. John C. Cox & Jonathan E. Ingersoll Jr. & Stephen A. Ross, 2005. "A Theory Of The Term Structure Of Interest Rates," World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 5, pages 129-164, World Scientific Publishing Co. Pte. Ltd..
    7. 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 555-576, June.
    8. Roma, Antonio & Torous, Walter, 1997. "The Cyclical Behavior of Interest Rates," Journal of Finance, American Finance Association, vol. 52(4), pages 1519-1542, September.
    9. Barry Cozier & Greg Tkacz, "undated". "The Term Structure and Real Activity in Canada," Staff Working Papers 94-3, Bank of Canada.
    10. Nelson, Charles R & Siegel, Andrew F, 1987. "Parsimonious Modeling of Yield Curves," The Journal of Business, University of Chicago Press, vol. 60(4), pages 473-489, October.
    11. Kamara, Avraham, 1997. "The Relation between Default-Free Interest Rates and Expected Economic Growth Is Stronger Than You Think," Journal of Finance, American Finance Association, vol. 52(4), pages 1681-1694, September.
    12. Lars E. O. Svensson, 1994. "Estimating and Interpreting Forward Interest Rates; Sweden 1992-1994," IMF Working Papers 1994/114, International Monetary Fund.
    13. Bekaert, Geert & Hodrick, Robert J. & Marshall, David A., 2001. "Peso problem explanations for term structure anomalies," Journal of Monetary Economics, Elsevier, vol. 48(2), pages 241-270, October.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Rodrigo Alfaro A., 2013. "Yield Curve Modeling And Forecasting: The Dynamic Nelson-Siegel Approach. Francis X. Diebold and Glenn D. Rudebusch," Revisión de libros Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 16(2), pages 150-153, August.
    2. Seppälä, Juha, 2000. "The term structure of real interest rates : Theory and evidence form UK index-linked bonds," Research Discussion Papers 22/2000, Bank of Finland.
    3. Seppala, Juha, 2004. "The term structure of real interest rates: theory and evidence from UK index-linked bonds," Journal of Monetary Economics, Elsevier, vol. 51(7), pages 1509-1549, October.
    4. Mirta González & María Cecilia Pérez, 2015. "Simulation of the term structure. An application for measuring the interest rate risk," BCRA Working Paper Series 201570, Central Bank of Argentina, Economic Research Department.
    5. Moreno, Manuel & Novales, Alfonso & Platania, Federico, 2018. "A term structure model under cyclical fluctuations in interest rates," Economic Modelling, Elsevier, vol. 72(C), pages 140-150.
    6. Tong, Xiaojun & He, Zhuoqiong Chong & Sun, Dongchu, 2018. "Estimating Chinese Treasury yield curves with Bayesian smoothing splines," Econometrics and Statistics, Elsevier, vol. 8(C), pages 94-124.
    7. Wei-Choun Yu & Donald M. Salyards, 2009. "Parsimonious modeling and forecasting of corporate yield curve," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 28(1), pages 73-88.
    8. Rocio Elizondo, 2013. "Forecasting the Term Structure of Interest Rates in Mexico Using an Affine Model," Working Papers 2013-03, Banco de México.
    9. Michiel de Pooter & Francesco Ravazzolo & Dick van Dijk, 2010. "Term structure forecasting using macro factors and forecast combination," Working Paper 2010/01, Norges Bank.
    10. Alejandra Lelo-de-Larrea, 2020. "Forecast Comparison of the Term Structure of Interest Rates of Mexico for Different Specifications of the Affine Model," Working Papers 2020-01, Banco de México.
    11. Lauren Stagnol, 2019. "Extracting global factors from local yield curves," Journal of Asset Management, Palgrave Macmillan, vol. 20(5), pages 341-350, September.
    12. Rui Chen & Jiri Svec & Maurice Peat, 2016. "Forecasting the Government Bond Term Structure in Australia," Australian Economic Papers, Wiley Blackwell, vol. 55(2), pages 99-111, June.
    13. Kanjilal, Kakali, 2013. "Factors causing movements of yield curve in India," Economic Modelling, Elsevier, vol. 31(C), pages 739-751.
    14. James M. Steeley, 2008. "Testing Term Structure Estimation Methods: Evidence from the UK STRIPS Market," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(7), pages 1489-1512, October.
    15. Michal Dvorák & Zlatuše Komárková & Adam Kucera, 2019. "The Czech Government Yield Curve Decomposition at the Lower Bound," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 69(1), pages 2-36, February.
    16. Guo, Feng & McCulloch, J.H., 2017. "Heterogeneous capital and misintermediation," Journal of Macroeconomics, Elsevier, vol. 53(C), pages 16-41.
    17. Ravenna, Federico & Seppälä, Juha, 2006. "Monetary policy and rejections of the expectations hypothesis," Research Discussion Papers 25/2006, Bank of Finland.
    18. Uri Ron, 2000. "A Practical Guide to Swap Curve Construction," Staff Working Papers 00-17, Bank of Canada.
    19. Jørgensen, Peter Løchte, 2018. "An analysis of the Solvency II regulatory framework’s Smith-Wilson model for the term structure of risk-free interest rates," Journal of Banking & Finance, Elsevier, vol. 97(C), pages 219-237.
    20. Alberto Di Iorio & Marco Fanari, 2020. "Break-even inflation rates: the Italian case," Questioni di Economia e Finanza (Occasional Papers) 578, Bank of Italy, Economic Research and International Relations Area.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:chb:bcchec:v:3:y:2000:i:2:p:31-52. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Claudio Sepulveda). General contact details of provider: https://edirc.repec.org/data/bccgvcl.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.