IDEAS home Printed from https://ideas.repec.org/p/chb/bcchwp/22.html
   My bibliography  Save this paper

Descomposición del Diferencial de Tasas de Interés entre Chile y el Extranjero: 1992-1996

Author

Listed:
  • Alvaro Rojas

Abstract

The purpose of this paper is to identify the different components of the interest rate differential between Chile and abroad. In order to do so, a methodology for decomposing this differential is applied under two possible interest rate parity conditions: covered interest parity for US$/UF arbitrage operations and uncovered interest parity for US$/Pesos arbitrage operations. From the decomposition of the interest differential we are able to build up measures of country risk premium and exchange risk premium plus expected devaluation. Then we compare this measures with alternative measures of country risk and exchange risk plus expected devaluation. The comparison of the built and alternative series suggests that the country and exchange risk series under uncovered interest parity, rather than the series built under covered interest parity, show a behavior that is more coherent with that of the alternative measures in used in this study.

Suggested Citation

  • Alvaro Rojas, 1997. "Descomposición del Diferencial de Tasas de Interés entre Chile y el Extranjero: 1992-1996," Working Papers Central Bank of Chile 22, Central Bank of Chile.
    • Handle: RePEc:chb:bcchwp:22
    as

    Download full text from publisher

    File URL: https://www.bcentral.cl/documents/33528/133326/DTBC_22.pdf
    Download Restriction: no
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:chb:bcchwp:22. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Alvaro Castillo (email available below). General contact details of provider: https://edirc.repec.org/data/bccgvcl.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.