Nominal Term Structure and Term Premia . Evidence from Chile

@inproceedings{Ceballos2017NominalTS,
  title={Nominal Term Structure and Term Premia . Evidence from Chile},
  author={Luis Ceballos and Alberto Naudon and Damian Romero},
  year={2017}
}
The downward 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 behavior of the nominal yield curve in Chile, we rely on an affine dynamic term structure model (DTMS) which allows to decompose the term structure into the expected short-term premium (related to the monetary policy expectation) and a term premia. We show that most of the fall of long-term interest rates as well as its… CONTINUE READING

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