Nominal term structure and term premia: evidence from Chile

Luis Ceballos, Alberto Naudon () and Damian Romero

Applied Economics, 2016, vol. 48, issue 29, 2721-2735

Abstract: The downwards trend exhibited in Chile’s nominal term structure since 2003 has been a common pattern shared by other developed and developing economies. To understand the behaviour of the nominal yield curve in Chile, we rely on an affine dynamic term structure model which allows the term structure to decompose into the expected short-term interest rate (related to the monetary policy expectation) and the term premium. We show that most of the fall of long-term interest rates as well as its dynamics are related to the term premium rather than the expected short-term interest rate. Moreover, we find evidence that term premium is driven primarily by the US term premium and domestic nominal uncertainty derived from expected inflation.

Date: 2016
References: Add references at CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://hdl.handle.net/10.1080/00036846.2015.1128079 (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: Nominal Term Structure and Term Premia: Evidence from Chile (2015)
Working Paper: Nominal Term Structure and Term Premia. Evidence from Chile (2014)
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:taf:applec:v:48:y:2016:i:29:p:2721-2735

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEC20

DOI: 10.1080/00036846.2015.1128079

Access Statistics for this article

Applied Economics is currently edited by Anita Phillips

More articles in Applied Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().