Estimaciones de mercado de la tasa de interés real natural: Evidencia de los mercados de bonos latinoamericanos

Autores/as

  • Jens Henrik Eggert Christensen Banco de la Reserva Federal de San Francisco, San Francisco, Estados Unidos
  • Luis Ceballos Universidad de San Diego, San Diego, Estados Unidos
  • Damian Romero Banco Central de Chile, Santiago, Chile

DOI:

https://doi.org/10.21754/iecos.v24i2.2042

Palabras clave:

modelo de estructura temporal libre de arbitraje afín, fricciones en el mercado financiero, política monetaria, rstar

Resumen

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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Citas

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Publicado

2023-12-31

Cómo citar

Eggert Christensen, J. H., Ceballos, L., & Romero, D. (2023). Estimaciones de mercado de la tasa de interés real natural: Evidencia de los mercados de bonos latinoamericanos. Revista IECOS, 24(2), 25–58. https://doi.org/10.21754/iecos.v24i2.2042

Número

Sección

Artículos de Investigación