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Mercados de Derivados: Swap de Tasas Promedio Cámara y Seguro Inflación


  • Felipe R. Varela Gana


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.

Suggested Citation

  • Felipe R. Varela Gana, 2007. "Mercados de Derivados: Swap de Tasas Promedio Cámara y Seguro Inflación," Economic Statistics Series 56, Central Bank of Chile.
  • Handle: RePEc:chb:bcchee:56

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    References listed on IDEAS

    1. Joseph Atta-Mensah, 2000. "Recent Developments in the Monetary Aggregates and Their Implications," Bank of Canada Review, Bank of Canada, vol. 2000(Spring), pages 3-10.
    2. Dinah Maclean, 2001. "Analyzing the Monetary Aggregates," Bank of Canada Review, Bank of Canada, vol. 2001(Summer), pages 31-43.
    3. Sean Collins & Clive Thorp & Bruce White, 1999. "Defining money and credit aggregates: theory meets practice," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 62, June.
    4. Jose De Gregorio, 2003. "Dinero e Inflación: ¿En Qué Estamos?," Working Papers Central Bank of Chile 201, Central Bank of Chile.
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