The downward trend exhibited in Chile's nominal 10-year interest rate since 2003 has been a common pattern shared by other developed and developing economies. To understand the behavior of the nominal yield curve in Chile, we rely on an affine dynamic term structure model (DTMS) which allows to...

This paper attempts to address the question of how unconventional monetary policies affected the market expectations in both the future paths of the monetary policy rate and economic growth implicit in interest rates in the period 2007-2013 for several developed and developing countries where...

In this paper we analyze the empirical relationship between inflation and economic growth in both level as well as its uncertainty components based in a bivariate GARCH model for Chilean economy. Then we proceed to analyze the economic causality between level/uncertainty for both nominal and...

In this paper we compute the impact of the yield spread on output growth, based on a standard DSGE model. As it is supported by empirical literature, we found that yield spread can be used only to forecast output growth for short-term horizons (less than 2 years). Moreover, the size of that...

The downward trend exhibited in Chile’s nominal term structure since 2003 has been a common pattern shared by other developed and developing economies. To understand the behavior of the nominal yield curve in Chile, we rely on an affine dynamic term structure model (DTMS) which allows to...

This paper attempts to review the main factors of the yield curve in the Chilean market during the period 2005-2013. Two different approaches are used to compute the main three factors denoted as the level, slope and curvature of the yield curve. Then, the impact of economic surprises and...

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,...

We examine consumption and commercial lending rates evolution, identifying the main determinants of their movements. Our objective is to distinguish effects related to monetary policy rate from those due to higher risk; this is done through counterfactual simulations around relevant variables....

The objective of this work is to learn about the information contained in local market financial options regarding the peso-dollar parity. The goal is to test whether this is a relevant source that should be considered by the financial agents when forming expectations regarding the future path...