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Modelos de tasas de interes en Chile: una revision


  • Hortensia Fontanals Albiol
  • Sergio Zuniga

    (Universitat de Barcelona)


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.

Suggested Citation

  • Hortensia Fontanals Albiol & Sergio Zuniga, 2002. "Modelos de tasas de interes en Chile: una revision," Working Papers in Economics 87, Universitat de Barcelona. Espai de Recerca en Economia.
  • Handle: RePEc:bar:bedcje:200287

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    References listed on IDEAS

    1. 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.
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    3. Jamshidian, Farshid, 1989. " An Exact Bond Option Formula," Journal of Finance, American Finance Association, vol. 44(1), pages 205-209, March.
    4. 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: Theory Of Valuation, chapter 5, pages 129-164 World Scientific Publishing Co. Pte. Ltd..
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    6. 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.
    7. 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.
    8. 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 637-654, May-June.
    9. 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.
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    12. 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.
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    Cited by:

    1. Alfaro, Rodrigo & Becerra, Juan Sebastian & Sagner, Andres, 2010. "Estimación de la estructura de tasas utilizando el modelo Dinámico Nelson Siegel: resultados para Chile y EEUU
      [The Dynamic Nelson-Siegel model: empirical results for Chile and US]
      ," MPRA Paper 25912, University Library of Munich, Germany, revised 23 Jun 2010.
    2. Sergio Zúñiga J., 2001. "Seasonal Effects and Volume-yield Relationship in the Central Bank Indexed Promissory Notes," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 4(1), pages 5-24, April.

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    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects


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