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Tasas de Interés Nominal de Corto Plazo en Chile: Una Comparación Empírica de sus Modelos

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  • Franco Parisi
Abstract
This article examines different one-factor models of the short-term nominal interest rate in Chile, concluding that the models best describing this behavior are those that allow the rate volatility not to be constant, a conclusion similarly reached by CKL

Suggested Citation

  • Franco Parisi, 1998. "Tasas de Interés Nominal de Corto Plazo en Chile: Una Comparación Empírica de sus Modelos," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 35(105), pages 161-182.
    • Handle: RePEc:ioe:cuadec:v:35:y:1998:i:105:p:161-182
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    File URL: http://www.economia.uc.cl/docs/105paria.pdf
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    References listed on IDEAS

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    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Sergio Zúñiga, 1999. "Modelos de Tasas de Interés en Chile: Una Revisión," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 36(108), pages 875-893.
    2. Alfaro, Rodrigo & Becerra, Juan Sebastian & Sagner, Andres, 2010. "Estimación de la estructura de tasas utilizando el modelo Dinámico Nelson Siegel: resultados para Chile y EEUU [The Dynamic Nelson-Siegel model: empirical results for Chile and US]," MPRA Paper 25912, University Library of Munich, Germany, revised 23 Jun 2010.
    3. Marcelo Ochoa, 2006. "Interpreting an Affine Term Structure Model for Chile," Working Papers Central Bank of Chile 380, Central Bank of Chile.
    4. J.Marcelo Ochoa, 2006. "An interpretation of an affine term structure model of Chile," Estudios de Economia, University of Chile, Department of Economics, vol. 33(2 Year 20), pages 155-184, December.
    5. González, Manuel, 2004. "La Curva de Retorno y el Modelo C-CAPM: Evidencia para Chile," MPRA Paper 309, University Library of Munich, Germany.
    6. Fernando Rubio, 2004. "Eficiencia Simple Del Mercado De Renta Fija En Chile," Finance 0405009, University Library of Munich, Germany.
    7. Viviana Fernández, 1999. "Estructura de Tasas de Interés en Chile: La Vía No Paramétrica," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 36(109), pages 1005-1034.

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    More about this item

    Keywords

    Chan; karolyi; longstaff y sanders; método generalizado de momentos; reversión a la media;
    All these keywords.

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects

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