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Eficiencia Simple Del Mercado De Renta Fija En Chile


  • Fernando Rubio



Al estudiar el mercado de renta fija en Chile a septiembre de 2002, se puede realizar dos conclusiones básicas. Primero, uno de los problemas iniciales a los que se enfrenta el gestor es que, en el universo considerado, muy pocos instrumentos entregan los vencimientos necesarios para cumplir adecuadamente los requerimientos de calce de largo plazo. Por la misma razón, hay pocos instrumentos que ofrezcan duraciones y convexidades para implementar una estrategia en la que la duración y convexidad de los activos supere ampliamente a la de los pasivos. Segundo, también se puede apreciar que el mercado es bastante eficiente en la valoración, es decir, no existen instrumentos que permitan encontrar para una misma duración, un amplio rango de convexidades o viceversa. Los únicos instrumentos que parecen escapar levemente a esta valoración son los bonos bullet en unidades de fomento del Banco Central.

Suggested Citation

  • Fernando Rubio, 2004. "Eficiencia Simple Del Mercado De Renta Fija En Chile," Finance 0405009, EconWPA.
  • Handle: RePEc:wpa:wuwpfi:0405009
    Note: Type of Document - pdf; pages: 24

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    References listed on IDEAS

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    4. J. David Cummins & Richard D. Phillips & Stephen D. Smith, 1997. "Derivatives and corporate risk management: participation and volume decisions in the insurance industry," FRB Atlanta Working Paper 97-12, Federal Reserve Bank of Atlanta.
    5. Manuel Moreno, 2003. "A two‐mean reverting‐factor model of the term structure of interest rates," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 23(11), pages 1075-1105, November.
    6. Hilliard, Jimmy E & Jordan, Susan D, 1992. "Hedging Interest Rate Risk under Term Structure Effects: An Application to Financial Institutions," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 15(4), pages 355-368, Winter.
    7. Chan, K C, et al, 1992. " An Empirical Comparison of Alternative Models of the Short-Term Interest Rate," Journal of Finance, American Finance Association, vol. 47(3), pages 1209-1227, July.
    8. Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, vol. 5(2), pages 177-188, November.
    9. Franco Parisi, 1998. "Tasas de Interés Nominal de Corto Plazo en Chile: Una Comparación Empírica de sus Modelos," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 35(105), pages 161-182.
    10. Luis Oscar Herrera & Igal Magendzo, 1997. "Expectativas Financieras y la Curva de Tasas Forward de Chile," Working Papers Central Bank of Chile 23, Central Bank of Chile.
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    More about this item


    Chile; renta fija; bonos; inmunización; duración; convexidad;

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies

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