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Un Modelo Estadístico Flexible para la Estructura Intertemporal de Tasas en Chile

Listed author(s):
  • Dante Jara

    (Corporacion Financiera de Desarrollo)

Registered author(s):

    El presente trabajo plantea un modelo estadístico flexible que captura paramétricamente la compleja condicionalidad y desvíos de normalidad que caracteriza a la estructura intertemporal de tasas de interés en la economía chilena entre los años 1992 y 2003. El modelo general consiste en una aproximación SemiNoParamétrica a la densidad condicional del proceso conjunto que siguen las tasas a 6 meses y 5 años. Este trabajo realiza el ejercicio de elección del mejor modelo, escogiendo el grado de flexibilidad necesario para capturar los hechos estilizados, por lo que son los datos los que indican la forma funcional específica para su densidad conjunta. Se implementa un algoritmo de simulación del modelo estadístico estimado, lo cual permite simular series artificiales de estructura de tasas a fin de verificar sus principales regularidades empíricas. El modelo SNP estimado puede ser utilizado como métrica para discriminar entre modelos alternativos de equilibrio general que pretendan dar cuenta de los hechos estilizados de estructura de tasas en la economía chilena.

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    File URL: http://econwpa.repec.org/eps/em/papers/0412/0412010.pdf
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    Paper provided by EconWPA in its series Econometrics with number 0412010.

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    Length: 29 pages
    Date of creation: 17 Dec 2004
    Handle: RePEc:wpa:wuwpem:0412010
    Note: Type of Document - pdf; pages: 29
    Contact details of provider: Web page: http://econwpa.repec.org

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    1. Gallant, Ronald & Tauchen, George, 1989. "Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications," Econometrica, Econometric Society, vol. 57(5), pages 1091-1120, September.
    2. Ronald Gallant, A. & Tauchen, George, 1999. "The relative efficiency of method of moments estimators1," Journal of Econometrics, Elsevier, vol. 92(1), pages 149-172, September.
    3. Gallant, A Ronald & Rossi, Peter E & Tauchen, George, 1993. "Nonlinear Dynamic Structures," Econometrica, Econometric Society, vol. 61(4), pages 871-907, July.
    4. White, Halbert, 1980. "Using Least Squares to Approximate Unknown Regression Functions," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 21(1), pages 149-170, February.
    5. Fenton, Victor M. & Gallant, A. Ronald, 1996. "Qualitative and asymptotic performance of SNP density estimators," Journal of Econometrics, Elsevier, vol. 74(1), pages 77-118, September.
    6. Gallant, A Ronald & Rossi, Peter E & Tauchen, George, 1992. "Stock Prices and Volume," Review of Financial Studies, Society for Financial Studies, vol. 5(2), pages 199-242.
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