L. Ceballos, Jens H. E. Christensen, Damián Romero
{"title":"大流行后新兴债券市场利率的新常态?智利的证据","authors":"L. Ceballos, Jens H. E. Christensen, Damián Romero","doi":"10.24148/wp2024-04","DOIUrl":null,"url":null,"abstract":"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.","PeriodicalId":472905,"journal":{"name":"Federal Reserve Bank of San Francisco, Working Paper Series","volume":"73 2","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2024-02-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"A Post-Pandemic New Normal for Interest Rates in Emerging Bond Markets? Evidence from Chile\",\"authors\":\"L. Ceballos, Jens H. E. Christensen, Damián Romero\",\"doi\":\"10.24148/wp2024-04\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"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.\",\"PeriodicalId\":472905,\"journal\":{\"name\":\"Federal Reserve Bank of San Francisco, Working Paper Series\",\"volume\":\"73 2\",\"pages\":\"\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2024-02-21\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Federal Reserve Bank of San Francisco, Working Paper Series\",\"FirstCategoryId\":\"0\",\"ListUrlMain\":\"https://doi.org/10.24148/wp2024-04\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Federal Reserve Bank of San Francisco, Working Paper Series","FirstCategoryId":"0","ListUrlMain":"https://doi.org/10.24148/wp2024-04","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
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.