The Yield Curve Factors and Economic Surprises in the Chilean Bond Market
Keywords:
Economic surprises, yield curve, latent factors, factor analysis
Abstract
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.
Published
2014-11-03
How to Cite
Ceballos, L. (2014). The Yield Curve Factors and Economic Surprises in the Chilean Bond Market. Economic Analysis Review, 29(2), 3-24. Retrieved from https://www.rae-ear.org/index.php/rae/article/view/410
Issue
Section
Articles
Upon submission of an article, authors are asked to indicate their agreement to abide by an open-access license. The license permits any user to download, print out, extract, archive, and distribute the article, so long as appropriate credit is given to the authors of the work. The license ensures that your article will be as widely available as possible and that your article can be included in any scientific archive. Please read about the Creative Commons Attribution License before submitting your paper.
Except where otherwise noted, content on this site is licensed under a Creative Commons Attribution 3.0 License
