Modelos de tasas de interes en Chile: una revision
In this work we revise Levels Models of the Interest Rates in Chile. In addition to the traditional Level Models by Chan, Karoly, Longstaff and Sanders (1992) in the USA, and Parisi (1998) in Chile, by Maximun Likelihood method we allow that the conditional volatility also include the unexpected information processes (GARCH model) and also that the volatility be function of the level of the interest rate (TVP-LEVEL model) as in Brenner, Harjes and Kroner (1996). For this we use market yields from the Bonos de Reconocimiento instead the monthly average yields from PDBC auctions, and enlarging the size and the frequency from the sample to 4 weekly yields with different terms to maturity: 1 year, 5 years, 10 years and 15 years. The main results from the study can be summarized in that the volatility of the unexpected changes in the rates depends positively on the level of the rates, especially in the TVP-LEVEL model. We obtain mean reversion evidence, such that the increments in the interest rates were not independent, contrary to that obtained by Brenner et al. in the USA. The LEVELS models are not able to adjust appropiately the volatility in comparison to an GARCH(1,1) model, and finally, the TVP-LEVEL model does not overcome the results from the GARCH(1,1) model.
|Date of creation:||2002|
|Date of revision:|
|Contact details of provider:|| Postal: |
Web page: http://www.ere.ub.es
More information through EDIRC
References listed on IDEAS
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.:
- Arturo Estrella & Gikas A. Hardouvelis, 1989.
"The term structure as a predictor of real economic activity,"
8907, Federal Reserve Bank of New York.
- 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.
- Broze, Laurence & Scaillet, Olivier & Zakoian, Jean-Michel, 1995.
"Testing for continuous-time models of the short-term interest rate,"
Journal of Empirical Finance,
Elsevier, vol. 2(3), pages 199-223, September.
- BROZE, Laurence & SCAILLET, Olivier & ZAKOIANÂ , Jean-Michel, 1993. "Testing for Continuous-Time Models of the Short-Term Interest Rate," CORE Discussion Papers 1993031, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Broze, L. & Scaillet, O. & Zakoãan,Â J.-M., . "Testing for continuous-time models of the short-term interest rate," CORE Discussion Papers RP 1177, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Brennan, Michael J. & Schwartz, Eduardo S., 1980. "Analyzing Convertible Bonds," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 15(04), pages 907-929, November.
- Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1980. " An Analysis of Variable Rate Loan Contracts," Journal of Finance, American Finance Association, vol. 35(2), pages 389-403, May.
- Cox, John C. & Ross, Stephen A., 1976. "The valuation of options for alternative stochastic processes," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 145-166.
- Chan, K C, et al, 1992.
" An Empirical Comparison of Alternative Models of the Short-Term Interest Rate,"
Journal of Finance,
American Finance Association, vol. 47(3), pages 1209-27, July.
- Tom Doan, . "RATS programs to replicate CKLS(1992) estimation of interest rate models," Statistical Software Components RTZ00035, Boston College Department of Economics.
- Nelson, Charles R & Siegel, Andrew F, 1987. "Parsimonious Modeling of Yield Curves," The Journal of Business, University of Chicago Press, vol. 60(4), pages 473-89, October.
- Robert C. Merton, 1973. "Theory of Rational Option Pricing," Bell Journal of Economics, The RAND Corporation, vol. 4(1), pages 141-183, Spring.
- Brenner, Robin J. & Harjes, Richard H. & Kroner, Kenneth F., 1996. "Another Look at Models of the Short-Term Interest Rate," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 31(01), pages 85-107, March.
- Franco Parisi, 1998. "Tasas de Interés Nominal de Corto Plazo en Chile: Una Comparación Empírica de sus Modelos," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 35(105), pages 161-182.
- Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "A Theory of the Term Structure of Interest Rates," Econometrica, Econometric Society, vol. 53(2), pages 385-407, March.
- Jamshidian, Farshid, 1989. " An Exact Bond Option Formula," Journal of Finance, American Finance Association, vol. 44(1), pages 205-09, March.
- Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
When requesting a correction, please mention this item's handle: RePEc:bar:bedcje:200287. 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: (Espai de Recerca en Economia)
If references are entirely missing, you can add them using this form.