大流行后新兴债券市场利率的新常态?智利的证据

L. Ceballos, Jens H. E. Christensen, Damián Romero
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引用次数: 0

摘要

在 COVID-19 大流行之前,研究人员就稳态短期实际利率--即所谓的均衡利率或自然利率--的下降程度展开了激烈的辩论。鉴于近期利率急剧上升,我们在新兴债券市场的背景下重新审视了这一问题,并从智利的视角出发,使用动态期限结构融资模型直接对智利个别通胀指数债券的价格进行估算,并对债券特有的流动性风险和实际期限溢价进行调整。我们估计,智利的均衡实际利率在 2003-2022 年间下降了约 2.5 个百分点,此后一直保持在较低水平。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
A Post-Pandemic New Normal for Interest Rates in Emerging Bond Markets? Evidence from Chile
Before the COVID-19 pandemic, researchers intensely debated the extent of the decline in the steady-state short-term real interest rate—the so-called equilibrium or natural rate of interest. Given the recent sharp increase in interest rates, we revisit this question in an emerging bond market context and offer a Chilean perspective using a dynamic term structure finance model estimated directly on the prices of individual Chilean inflation indexed bonds with adjustments for bond-specific liquidity risk and real term premia. We estimate that the equilibrium real rate in Chile fell about 2 and a half percentage points in the 2003-2022 period and has remained low since then.
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