The downwards 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 which allows the term...

As corporate bonds are primarily denominated in nominal terms, inflation uncertainty arises as a relevant source of risk. This paper analyzes the relevance of inflation volatility risk as an additional factor predicting the cross-section of corporate bond returns. I find a negative and...