Valorización por Arbitraje de Bonos y Acciones Chilenas Mediante el Método de Componentes Principales
In this paper we estimate the factor model given by the Arbitrage Pricing Theory (APT), using a statistical model that has not yet been applied to Chilean financial market returns: the Principal Components Method. Using bond and stock indexes, we identify four factors of systematic risk for the period between January 2000 and June 2009. The economic interpretation of these factors relates to changes in the slope of the yield curve, aggregate demand, commodities prices and real estate returns. The correlation analysis between the identified factors and a set of macroeconomic variables corroborates this interpretation.
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- Rodrigo Fuentes & Fabián Gredig & Mauricio Larraín, 2007. "Estimating the Output Gap for Chile," Working Papers Central Bank of Chile 455, Central Bank of Chile.
- repec:ucp:bkecon:9780226316529 is not listed on IDEAS
- Chen, Nai-Fu & Roll, Richard & Ross, Stephen A, 1986. "Economic Forces and the Stock Market," The Journal of Business, University of Chicago Press, vol. 59(3), pages 383-403, July. Full references (including those not matched with items on IDEAS)
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