Since 2014
The Yield Curve Factors and Economic Surprises in the Chilean Bond Market
Economic Analysis Review
View Archive Info| Field | Value | |
| Title |
The Yield Curve Factors and Economic Surprises in the Chilean Bond Market
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| Creator |
Ceballos, Luis
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| Subject |
Economic surprises, yield curve, latent factors, factor analysis
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| Description |
This paper attempts to review the main factors of the yield curve in 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 announcements are analyzed. Our results indicate that local surprises and announcements (both local and external) have similar effects on the estimated factors under both approaches, whereas is evidenced an asymmetric impact in the case of external surprises.
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| Publisher |
Universidad Alberto Hurtado - Facultad de Economía y Negocios
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| Contributor |
—
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| Date |
2014-11-03
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion — — |
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| Format |
application/pdf
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| Identifier |
http://www.rae-ear.org/index.php/rae/article/view/410
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| Source |
Revista de Análisis Económico - Economic Analysis Review; Vol 29, No 2 (2014); 3-24
Revista de Análisis Económico – Economic Analysis Review; Vol 29, No 2 (2014); 3-24 0718-8870 0716-5927 |
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| Language |
eng
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| Relation |
http://www.rae-ear.org/index.php/rae/article/view/410/552
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