Studies in Economic Statistics N° 49: Swaps de Tasas de Interés Externas: Costo de Financiamiento y Deuda Externa
Studies in Economic Statistics N° 49: Swaps de Tasas de Interés Externas: Costo de Financiamiento y Deuda Externa
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Studies in Economic Statistics N° 49: Swaps de Tasas de Interés Externas: Costo de Financiamiento y Deuda Externa
Autor: Sergio Godoy , Jorge Selaive C.
Summary
A partir del N°50, la Serie de Estudios Económicos del Banco Central de Chile continúa con el nombre de Estudios Económicos Estadísticos.
Description
Interest rate swaps (IRS) are the major derivatives for managing interest rate risk. This work employed an original database for analyzing Chilean cross-border IRS for the period 1996-2004. Our main findings are the following: First, we detected sustained growth in the Chilean IRS turnover during the period. However, given that this turnover is low compared to other emerging economies, there is still potential for greater usage. Second, based on swap rates, we estimated an average external funding cost of 80 basis points above the Chilean sovereign spread for the period 1999-2004. In particular, in 2004 this difference was only 20 basis points, showing lowered cost and improved access to external funding for domestic firms. Lastly, IRS reduces the sensitivity of external debt service requirements to changes in the international rates. Actually, in 2004, after including these swaps, the share of fixed-interest-rate debt in total external debt increases from 51% to 60%.
Studies in Economic Statistics N° 49: Swaps de Tasas de Interés Externas: Costo de Financiamiento y Deuda Externa
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