Expectativas Financieras y la Curva de Tasas Forward de Chile
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.
|Date of creation:||Oct 1997|
|Date of revision:|
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