Monetary Policy Surprises and the Yield Curve in Chile

Mauricio Larrain

Journal Economía Chilena (The Chilean Economy), 2007, vol. 10, issue 1, 37-50

Abstract: This paper estimates the impact of a monetary policy shock on the nominal and real yield curve in Chile during the period 2002-2007. Using information from the forward curve to obtain the non anticipated component of the policy action, we find that the effect of a monetary surprise on the nominal yield curve is positive and very significant, while the effect on the real yield curve is positive but numerically lower than the nominal case and not always significant. The response of the yield curves to the anticipated component of the policy change is found to be not significant. We also report that the response of the nominal curve in Chile to a monetary surprise is lower than in the U.S. The results are robust to using information from the Survey of Economic Expectations to obtain an alternative measure of monetary shock.

Date: 2007
References: Add references at CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
https://si2.bcentral.cl/public/pdf/revista-economi ... abril2007pp37-50.pdf (application/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:bcchec:v:10:y:2007:i:1:p:37-50

Access Statistics for this article

Journal Economía Chilena (The Chilean Economy) is currently edited by Álvaro Aguirre, Sofía Bauducco and Andrés Fernández

More articles in Journal Economía Chilena (The Chilean Economy) from Central Bank of Chile Contact information at EDIRC.
Bibliographic data for series maintained by Fredherick Sanllehi ().