This paper attempts to review the main factors of the yield curve in 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 is evidenced an asymmetric impact in the case of external surprises. [ABSTRACT FROM AUTHOR]
This paper aims to assess the effects of foreign financial shocks on the Chilean economy, for which a model including foreign and domestic series, for both real and financial variables at quarterly frequency is estimated. Among the main results, it is found that Chilean GDP is negatively and significantly affected by shocks in the volatility of foreign stock markets, while the Chilean currency depreciates and the domestic interest rate decreases due to this type of innovations. [ABSTRACT FROM AUTHOR]
Published
2012
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