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- W1961195611 abstract "ABSTRACTThe downwards 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 behaviour of the nominal yield curve in Chile, we rely on an affine dynamic term structure model which allows the term structure to decompose into the expected short-term interest rate (related to the monetary policy expectation) and the term premium. We show that most of the fall of long-term interest rates as well as its dynamics are related to the term premium rather than the expected short-term interest rate. Moreover, we find evidence that term premium is driven primarily by the US term premium and domestic nominal uncertainty derived from expected inflation." @default.
- W1961195611 created "2016-06-24" @default.
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- W1961195611 date "2016-01-29" @default.
- W1961195611 modified "2023-10-01" @default.
- W1961195611 title "Nominal term structure and term premia: evidence from Chile" @default.
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- W1961195611 doi "https://doi.org/10.1080/00036846.2015.1128079" @default.
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