Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/273870 
Year of Publication: 
2022
Series/Report no.: 
Working Paper No. 1008
Publisher: 
Levy Economics Institute of Bard College, Annandale-on-Hudson, NY
Abstract: 
This paper econometrically models the dynamics of the Chilean interbank swap yields based on macroeconomic factors. It examines whether the month-over-month change in the short-term interest rate has a decisive influence on the long-term swap yield after controlling for other factors, such as the change in inflation, change in the growth of industrial production, change in the log of the equity price index, and change in the log of the exchange rate. It applies the generalized autoregressive conditional heteroskedasticity (GARCH) approach to model the dynamics of the long-term swap yield. The change in the short-term interest rate has an economically meaningful and statistically significant effect on the change of the interbank swap yield. This means that the Banco Central de Chile's (BCCH) monetary policy exerts an important influence on interbank swap yields in Chile.
Subjects: 
Interest Rate Swaps
Swap Yield
Short-Term Interest Rate
Banco Central de Chile (BCCH)
Chile
JEL: 
E43
E50
E58
E60
G10
G12
Document Type: 
Working Paper

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