Mercados de Derivados: Swap de Tasas Promedio Cámara y Seguro Inflación
This paper studies and describes the financial derivatives markets of Interest Rate Swap «Promedio Cámara» (SPC) and «Seguro Inflación» (SI). It uses data obtained between 2002 and 2006 mainly from banks and brokers. This survey explores the agents’ incentives, the market dynamics, and the interactions between the SPC, SI and other markets. In addition, it proposes methodologies for forecasting interest and inflation rate, which are implicit in these financial instruments. The first part describes the SPC and the second part, the SI. Using practical examples, it shows the market’s trading and dynamics, and the interactions with other markets. Specifically, a close relationship between the SPC and the central bank bonds is found. The swap spread explains the difference between their rates. Additionally, using formulas based on the SPC and SI definitions, the implicit interest and inflation rate forecasts are calculated.
|Date of creation:||Apr 2007|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: (562) 670 2000
Fax: (562) 698 4847
Web page: http://www.bcentral.cl/
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:chb:bcchee:56. 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)
If references are entirely missing, you can add them using this form.