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Working Papers N° 814: Expectativas Financieras y Tasas Forward en Chile

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Working Papers N° 814: Expectativas Financieras y Tasas Forward en Chile

Autor: Antonio Fernandois , Rodrigo Alfaro , Andrés Sagner


Description

In this paper we present a simple tool to calculate the forward rate curve for Chile from a set of interest rates grouped by maturity using a linear version of the Nelson-Siegel model. Our results show that (i) the forward rate is a weighted average of zero-coupon rates, and (ii) the weights are time-invariant if the set of interest rates used in the estimations is always the same.

Working Papers N° 814: Expectativas Financieras y Tasas Forward en Chile
 
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