Expectativas Financieras y Tasas Forward en Chile

Rodrigo Alfaro, Antonio Fernandois and Andrés Sagner

Working Papers Central Bank of Chile from Central Bank of Chile

Abstract: In this paper we present a simple tool to calculate the forward rate curve for Chile from a set of interest rates grouped by maturity using a linear version of the Nelson-Siegel model. Our results show that (i) the forward rate is a weighted average of zero-coupon rates, and (ii) the weights are time-invariant if the set of interest rates used in the estimations is always the same.

Date: 2018-03
New Economics Papers: this item is included in nep-mac
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Persistent link: https://EconPapers.repec.org/RePEc:chb:bcchwp:814

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