Tesis para optar al grado de Magister en Economía / This paper attempts to provide an economic interpretation of the
factors that drive the movements of interest rates of bonds of different
maturities in a continuous-time no-arbitrage term structure model.
The dynamics of yields in the model are explained by two latent factors,
the instantaneous short rate and its time-varying central tendency.
The model estimates suggest that the short end of the yield
curve is mainly driven by changes in first latent factor, while longterm
interest rates are mainly explained by the second latent factor.
Consequently, when thinking about movements in the term structure
one should think of at least two forces that hit the economy; temporary
shocks that change short-term and medium-term interest rates by
much larger amounts than long-term interest rates, causing changes
in the slope of the yield curve; and long-lived innovations which have
persistent effects on the level of the yield curve.
| Identifer | oai:union.ndltd.org:UCHILE/oai:repositorio.uchile.cl:2250/134902 |
| Date | 29 November 2006 |
| Creators | Ochoa, J. Marcelo |
| Contributors | Chumacero Escudero, Rómulo, Escuela de Postgrado, Economía y Negocios |
| Publisher | Universidad de Chile |
| Source Sets | Universidad de Chile |
| Language | English |
| Detected Language | English |
| Type | Tesis |
| Rights | Atribución-NoComercial-SinDerivadas 3.0 Chile, http://creativecommons.org/licenses/by-nc-nd/3.0/cl/ |
Page generated in 0.0014 seconds