Mercados de Derivados: Swap de Tasas Promedio Cámara y Seguro Inflación

Felipe R. Varela Gana

Economic Statistics Series from Central Bank of Chile

Abstract: This paper studies and describes the financial derivatives markets of Interest Rate Swap «Promedio Cámara» (SPC) and «Seguro Inflación» (SI). It uses data obtained between 2002 and 2006 mainly from banks and brokers. This survey explores the agents’ incentives, the market dynamics, and the interactions between the SPC, SI and other markets. In addition, it proposes methodologies for forecasting interest and inflation rate, which are implicit in these financial instruments. The first part describes the SPC and the second part, the SI. Using practical examples, it shows the market’s trading and dynamics, and the interactions with other markets. Specifically, a close relationship between the SPC and the central bank bonds is found. The swap spread explains the difference between their rates. Additionally, using formulas based on the SPC and SI definitions, the implicit interest and inflation rate forecasts are calculated.

Date: 2007-04
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.bcentral.cl/estudios/estudios-economicos-estadisticos/pdf/see56.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found (http://www.bcentral.cl/estudios/estudios-economicos-estadisticos/pdf/see56.pdf [302 Object Moved]--> https://www.bcentral.cl/estudios/estudios-economicos-estadisticos/pdf/see56.pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:chb:bcchee:56

Access Statistics for this paper

More papers in Economic Statistics Series from Central Bank of Chile Contact information at EDIRC.
Bibliographic data for series maintained by Alvaro Castillo ().