La Información en la Estructura de Tasas bajo Políticas Monetarias No Convencionales

Luis Ceballos; Damian Romero

doi:10.4067/S0718-88702015000200001

Authors

Luis Ceballos Central Bank of Chile
Damian Romero Central Bank of Chile and Barcelona Graduate School of Economics

DOI:

https://doi.org/10.4067/S0718-88702015000200001

Keywords:

Yield curve, unconventional monetary policies, economic forecasting

Abstract

This paper attempts to address the question of how unconventional monetary policies affected the market expectations regards the expected path of the monetary policy rate and economic growth in countries where some kind of unconventional monetary policies were applied. The approach used is to compare the implicit expectations in the yield curve with market surveys (for the expected path pf monetary policy rate) and econometric models (for economic growth) and evaluate the accuracy of each forecast at different horizons. We conclude that in the period where unconventional monetary policies were applied, the yield curve provided relevant additional information to forecast the monetary policy rate and economic growth, especially in developed economies.

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