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


  • Luis Ceballos


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

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    1. Geert Bekaert & Seonghoon Cho & Antonio Moreno, 2010. "New Keynesian Macroeconomics and the Term Structure," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(1), pages 33-62, February.
    2. Mark Gertler & Jordi Gali & Richard Clarida, 1999. "The Science of Monetary Policy: A New Keynesian Perspective," Journal of Economic Literature, American Economic Association, vol. 37(4), pages 1661-1707, December.
    3. Hamilton, James D & Kim, Dong Heon, 2002. "A Reexamination of the Predictability of Economic Activity Using the Yield Spread," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 34(2), pages 340-360, May.
    4. Fama, Eugene F., 1990. "Term-structure forecasts of interest rates, inflation and real returns," Journal of Monetary Economics, Elsevier, vol. 25(1), pages 59-76, January.
    5. Arturo Estrella, 2005. "Why Does the Yield Curve Predict Output and Inflation?," Economic Journal, Royal Economic Society, vol. 115(505), pages 722-744, July.
    6. Estrella, Arturo & Hardouvelis, Gikas A, 1991. " The Term Structure as a Predictor of Real Economic Activity," Journal of Finance, American Finance Association, vol. 46(2), pages 555-576, June.
    7. N. Funke, 1997. "Yield spreads as predictors of recessions in a core European economic area," Applied Economics Letters, Taylor & Francis Journals, vol. 4(11), pages 695-697.
    8. Frederick T. Furlong, 1989. "The yield curve and recessions," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue mar10.
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