Impacto de Sorpresas Macroeconómicas y Anuncios en Factores de la Estructura de Tasas de Chile
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.
|Date of creation:||Jul 2013|
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