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Modelos de Tasas de Interés en Chile: Una Revisión

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  • Sergio Zúñiga

Abstract

This work reviews the Level Model of the Interest Rates in Chile. In addi-tion to the traditional Level Models by Chan, Karoly, Longstaff and Sanders (1992) in the USA, and Parisi (1998) in Chile, by the Maximum Likelihood method, we allow the conditional volatility to also include the unexpected information processes (GARCH model) and also that the volatility be a function of the interest rate level (TVP-LEVEL model) as in Brenner, Harjes and Kroner (1996). For this, market yields from the Bonos de Reconocimiento(old system funds) are used as opposed to the monthly average yields from PDBC auctions, and enlarging the sample’s size and frequency to 4 weekly yields with different terms to maturity: 1 year, 5 years, 10 years and 15 years. The main results from the study can be summarized in that the volatility of the unexpected changes in rates depends positively o­n rate level, especially in the TVP-LEVEL model. We obtain mean reversion evidence, such that the increments in the interest rates were not independent, contrary to those obtained by Brenner et al. in the USA. The LEVEL models are not able to adjust appropriately the volatility in comparison to the GARCH(1,1) model, and finally, the TVP-LEVEL model does not overcome the results from the GARCH(1,1) model.

Suggested Citation

  • 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.
    • Handle: RePEc:ioe:cuadec:v:46:y:1999:i:108:p:875-893
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    1. Broze, Laurence & Scaillet, Olivier & Zakoian, Jean-Michel, 1995. "Testing for continuous-time models of the short-term interest rate," Journal of Empirical Finance, Elsevier, vol. 2(3), pages 199-223, September.
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    Cited by:

    1. 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.
    2. Sergio Zúñiga J., 2001. "Seasonal Effects and Volume-yield Relationship in the Central Bank Indexed Promissory Notes," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 4(1), pages 5-24, April.

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    More about this item

    Keywords

    Term structure; interest rates; GARCH;
    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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