Estimaciones de mercado de la tasa de interés real natural: Evidencia de los mercados de bonos latinoamericanos
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https://doi.org/10.21754/iecos.v24i2.2042Palabras clave:
modelo de estructura temporal libre de arbitraje afín, fricciones en el mercado financiero, política monetaria, rstarResumen
Proporcionamos estimaciones basadas en el mercado de bonos para la tasa real natural, es decir, la tasa de interés real a corto plazo en estado estacionario, para Brasil, Chile y México. Nuestro enfoque utiliza un modelo financiero dinámico de la estructura de tasas de interés estimado directamente sobre los precios de los bonos individuales indexados a la inflación ajustados por premios por liquidez específicos de los bonos y premios por plazo. En primer lugar, observamos que premios por liquidez de los bonos indexados a la inflación en los tres países son considerables y varían significativamente. En segundo lugar, observamos grandes diferencias en sus tasas de interés reales de equilibrio: la de Brasil es alta y volátil, la de México estable pero elevada, mientras que la de Chile es baja y ha caído de forma persistente. Aunque inciertas, nuestras estimaciones tienen importantes implicancias para la conducción de la política monetaria en estos tres países.
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Derechos de autor 2023 Jens Henrik Eggert Christensen, Luis Ceballos, Damian Romero
Esta obra está bajo una licencia internacional Creative Commons Atribución 4.0.
CC BY 4.0 DEED Attribution 4.0 International
