We propose a discrete, dynamic version of the Nelson-Siegel yield curve model, taking as valid the Log Expectations Hypothesis, plus an explicit modeling of the model’s factor dynamics. Within this framework, we propose two ways to identify the model parameters: ARIMA and cointegration. With...

This paper studies the interaction between the economic cycle and the credit market in Chile. The results are obtained with identification of shocks using a structural VAR model that replicates the empirical standard transmission mechanism of monetary policy that has been found in other studies...