EconPapers    
Economics at your fingertips  
 

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

Luis Ceballos ()

Revista de Analisis Economico – Economic Analysis Review, 2014, vol. 29, issue 2, 3-23

Abstract: This paper attempts to review the main factors of the yield curve in the 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 evidenced and asymmetric impact in the case of external surprises.

Keywords: Economic surprises; yield curve; latent factors; factor analysis (search for similar items in EconPapers)
JEL-codes: E43 E44 G15 (search for similar items in EconPapers)
Date: 2014
References: Add references at CitEc
Citations: View citations in EconPapers (5) Track citations by RSS feed

Downloads: (external link)
http://www.rae-ear.org/index.php/rae/article/view/410/552 (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:ila:anaeco:v:29:y:2014:i:2:p:3-23

Ordering information: This journal article can be ordered from

Access Statistics for this article

Revista de Analisis Economico – Economic Analysis Review is currently edited by Carlos Ponce

More articles in Revista de Analisis Economico – Economic Analysis Review from Universidad Alberto Hurtado/School of Economics and Business Contact information at EDIRC.
Bibliographic data for series maintained by Mauricio Tejada ().

 
Page updated 2022-07-19
Handle: RePEc:ila:anaeco:v:29:y:2014:i:2:p:3-23