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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
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Handle: RePEc:ila:anaeco:v:29:y:2014:i:2:p:3-23