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Working Papers N°23: Expectativas Financieras y la Curva de Tasas Forward de Chile

Autor: Luis Óscar Herrera , Igal Magendzo


Description

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.

Working Papers N°23: Expectativas Financieras y la Curva de Tasas Forward de Chile
 
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