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Working Papers N°386: La Información Contenida en los Movimientos de las Tasas Forward en Chile

Autor: Mauricio Larraín , Fernando Parro


Description

The purpose of this paper is to examine the information contained in the term structure of inflation-linked interest rates in Chile with respect to expected future interest rates. Using the present discounted value methodology developed by Campbell and Ammer (1993), we decompose excess returns on inflation-linked bonds of maturities from two to five years during the period 1999-2006 into news about future interest news and term premiums. According to the results, a large fraction of the variance of the unexpected returns (between 43% and 67%) can be attributed to term premiums, and therefore we should be careful in attributing movements in the forward curve exclusively to movements in the expected path of future interest rates.

 
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