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

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...

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Autor principal:	Ceballos,Luis
Lenguaje:	English
Publicado:	ILADES. Universidad Alberto Hurtado. 2014
Materias:	Economic surprises yield curve latent factors factor analysis
Acceso en línea:	http://www.scielo.cl/scielo.php?script=sci_arttext&pid=S0718-88702014000200001
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spelling	oai:scielo:S0718-887020140002000012014-11-26The Yield Curve Factors and Economic Surprises in the Chilean Bond MarketCeballos,Luis Economic surprises yield curve latent factors factor analysis 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.info:eu-repo/semantics/openAccessILADES. Universidad Alberto Hurtado.Revista de análisis económico v.29 n.2 20142014-10-01text/htmlhttp://www.scielo.cl/scielo.php?script=sci_arttext&pid=S0718-88702014000200001en10.4067/S0718-88702014000200001
institution	Scielo Chile
collection	Scielo Chile
language	English
topic	Economic surprises yield curve latent factors factor analysis
spellingShingle	Economic surprises yield curve latent factors factor analysis Ceballos,Luis The Yield Curve Factors and Economic Surprises in the Chilean Bond Market
description	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.
author	Ceballos,Luis
author_facet	Ceballos,Luis
author_sort	Ceballos,Luis
title	The Yield Curve Factors and Economic Surprises in the Chilean Bond Market
title_short	The Yield Curve Factors and Economic Surprises in the Chilean Bond Market
title_full	The Yield Curve Factors and Economic Surprises in the Chilean Bond Market
title_fullStr	The Yield Curve Factors and Economic Surprises in the Chilean Bond Market
title_full_unstemmed	The Yield Curve Factors and Economic Surprises in the Chilean Bond Market
title_sort	yield curve factors and economic surprises in the chilean bond market
publisher	ILADES. Universidad Alberto Hurtado.
publishDate	2014
url	http://www.scielo.cl/scielo.php?script=sci_arttext&pid=S0718-88702014000200001
work_keys_str_mv	AT ceballosluis theyieldcurvefactorsandeconomicsurprisesinthechileanbondmarket AT ceballosluis yieldcurvefactorsandeconomicsurprisesinthechileanbondmarket
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The Yield Curve Factors and Economic Surprises in the Chilean Bond Market

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