Expectativas Financieras y la Curva de Tasas Forward de Chile

Luis Oscar Herrera and Igal Magendzo

Working Papers Central Bank of Chile from Central Bank of Chile

Abstract: The goal of this paper is to develop a methodology to estimate the forward interest rate curves for Central Bank bonds. The paper uses the methodology proposed by Nelson and Siegel (1987) based on a parametric model of the forward curve. An advantage of this parametric estimation is that -with a reduced number of parameters- it is flexible enough to describe the different shapes that term structure typically takes.

Date: 1997-10
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Citations: View citations in EconPapers (13)

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Persistent link: https://EconPapers.repec.org/RePEc:chb:bcchwp:23

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