IDEAS home Printed from https://ideas.repec.org/p/chb/bcchwp/701.html
   My bibliography  Save this paper

Impacto de Sorpresas Macroeconómicas y Anuncios en Factores de la Estructura de Tasas de Chile

Author

Listed:
  • Luis Ceballos

Abstract

This paper presents a review on the factors of the structure of nominal interest rates in Chile in the period 2005-2013 in daily frequency using two approaches: (1) Nelson-Siegel model and (2) principal components. These factors correspond to the level, slope and curvature of the yield curve, which characterize the interest rates at different maturities in compact form. Based on these factors, we study the effects of macroeconomic surprises and asymmetric effects, and announcements of unconventional monetary policy in such factors. Our results indicate that local surprises have similar effects on the estimated factors under both approaches. Regarding external surprises, there is an asymmetric effect on the factors. Meanwhile, unconventional monetary policy announcements regarding the FLAP affect the level of the yield curve depending on the approach used.

Suggested Citation

  • Luis Ceballos, 2013. "Impacto de Sorpresas Macroeconómicas y Anuncios en Factores de la Estructura de Tasas de Chile," Working Papers Central Bank of Chile 701, Central Bank of Chile.
    • Handle: RePEc:chb:bcchwp:701
    as

    Download full text from publisher

    File URL: https://www.bcentral.cl/documents/33528/133326/DTBC_701.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:701. 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.