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Expectativas Financieras y la Curva de Tasas Forward de Chile

Author

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  • Luis Oscar Herrera
  • Igal Magendzo

Abstract

The goal of this paper is to develop a methodology to estimate the forward interest rate curves for Central Bank bonds. The paper uses the methodology proposed by Nelson and Siegel (1987) based on a parametric model of the forward curve. An advantage of this parametric estimation is that -with a reduced number of parameters- it is flexible enough to describe the different shapes that term structure typically takes.

Suggested Citation

  • Luis Oscar Herrera & Igal Magendzo, 1997. "Expectativas Financieras y la Curva de Tasas Forward de Chile," Working Papers Central Bank of Chile 23, Central Bank of Chile.
  • Handle: RePEc:chb:bcchwp:23
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    Citations

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    Cited by:

    1. J.Marcelo Ochoa, 2006. "An interpretation of an affine term structure model of Chile," Estudios de Economia, University of Chile, Department of Economics, vol. 33(2 Year 20), pages 155-184, December.
    2. Rodrigo Alfaro & Antonio Fernandois & Andrés Sagner, 2018. "Expectativas Financieras y Tasas Forward en Chile," Working Papers Central Bank of Chile 814, Central Bank of Chile.
    3. Marco Morales, 2010. "The real yield curve and macroeconomic factors in the Chilean economy," Applied Economics, Taylor & Francis Journals, vol. 42(27), pages 3533-3545.
    4. Fernando Rubio, 2004. "Eficiencia Simple Del Mercado De Renta Fija En Chile," Finance 0405009, EconWPA.

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