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

  • Felipe R. Varela Gana
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    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.

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    Paper provided by Central Bank of Chile in its series Economic Statistics Series with number 56.

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    Date of creation: Apr 2007
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    Handle: RePEc:chb:bcchee:56
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