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Estimación del spread de tasas de corto y largo plazo: Un indicador de alerta temprana
[An estimation of short and long term rates spread: a leading indicator]

Author

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  • Idrovo Aguirre, Byron

Abstract

The relation between short and long term rates spread and economic growth has been widely argued on the international literature. Evidence from developed countries shows that the term structure of interest rates, frequently, contains relevant information concerning the economic growth dynamics. In many cases, the recession periods on the economy has been preceded by negative spreads, that means the short term interest rates exceed the long term ones (an interest rate reversion). Lately in Chile, it has been observed a greater convergence between short term interest rates (measured by the monetary policy real interest rate) and long term interest rates (measured by the 15 years mortgage rate). In fact, if we consider that the interest rate spread could be a leading indicator for future economic activity it would be interesting to know the spread evolution. The objective of this paper is to measure statistically the persistence of the present spread and estimate its long term evolution. The main finding is that the spread level is likely to stay on a low spread and volatility regime, but the statistic evidence does not show that the economy presents an interest rate reversion on the long run. Then, the most likely scenario is that on the long run the economy presents a growth rate similar to its potential.

Suggested Citation

  • Idrovo Aguirre, Byron, 2006. "Estimación del spread de tasas de corto y largo plazo: Un indicador de alerta temprana [An estimation of short and long term rates spread: a leading indicator]," MPRA Paper 11116, University Library of Munich, Germany, revised 12 Mar 2007.
    • Handle: RePEc:pra:mprapa:11116
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    References listed on IDEAS

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    4. Christian Johnson, 2001. "Un Modelo de Switching para el Crecimiento en Chile," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 38(115), pages 291-319.
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    More about this item

    Keywords

    Spread de tasas; distribuciones mixtas; cadenas de Markov;
    All these keywords.

    JEL classification:

    • C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions

    Statistics

    Access and download statistics

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