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The Yield Curve Factors and Economic Surprises in the Chilean Bond Market

Author

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  • Luis Ceballos

    (Central Bank of Chile)

Abstract

This paper attempts to review the main factors of the yield curve in the Chilean market during the period 2005-2013. Two different approaches are used to compute the main three factors denoted as the level, slope and curvature of the yield curve. Then, the impact of economic surprises and announcements are analyzed. Our results indicate that local surprises and announcements (both local and external) have similar effects on the estimated factors under both approaches, whereas evidenced and asymmetric impact in the case of external surprises.

Suggested Citation

  • Luis Ceballos, 2014. "The Yield Curve Factors and Economic Surprises in the Chilean Bond Market," Revista de Analisis Economico – Economic Analysis Review, Universidad Alberto Hurtado/School of Economics and Business, vol. 29(2), pages 3-23, October.
    • Handle: RePEc:ila:anaeco:v:29:y:2014:i:2:p:3-23
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    Citations

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    Cited by:

    1. Luis Ceballos & Alberto Naudon & Damián Romero, 2016. "Nominal term structure and term premia: evidence from Chile," Applied Economics, Taylor & Francis Journals, vol. 48(29), pages 2721-2735, June.
    2. Mario González & Raúl Tadle, 2018. "Monetary Policy Effects on the Chilean Stock Market: An Automated Content Approach," Working Papers Central Bank of Chile 817, Central Bank of Chile.
    3. Samuel Carrasco & Luis Ceballos & Jessica Mena, 2016. "Estimación de la estructura de tasas de interés en Chile," Notas de Investigación Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 19(1), pages 58-75, April.
    4. Tomás Gómez & Alejandro Jara & David Moreno, 2020. "International and domestic interactions of macroprudential and monetary policies: the case of Chile," Working Papers Central Bank of Chile 870, Central Bank of Chile.

    More about this item

    Keywords

    Economic surprises; yield curve; latent factors; factor analysis;
    All these keywords.

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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