A GARCH Approach to Modeling Chilean Long-Term Swap Yields

Created
Wed, 25/05/2022 - 02:30
Updated
Wed, 25/05/2022 - 02:30
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.