The Yield Curve Factors and Economic Surprises in the Chilean Bond Market

• Autores: Luis Ceballos
• Localización: Revista de análisis económico, ISSN-e 0718-8870, ISSN 0716-5927, Vol. 29, Nº 2, 2014, págs. 3-24
• Idioma: inglés
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• Resumen

  • 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.