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La formación de la curva de rendimientos en nuevos soles en el Peru


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  • Augusto Rodríguez
  • Julio Villavicencio
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    The objective of this paper is to analyze the formation process of the Nuevo Sol Yield Curve in Peru, specifically the evolution of its different terms as a consequence of diverse internal and external policies and events. For this purpose, the zero coupon yield curve or spot curve is estimated, based on the Nelson y Siegel (1987) method. The analysis suggests that in the Peruvian case the developing yield curve has been sensible to internal events as the issue of a bond with a maturity longer than the existing term to maturity, and external events such as foreign interest rates changes. Hence, the yield curve has adopted concave, convex and lineal forms within one and a half year period, without the agents having changed their perceptions about the macroeconomic fundamentals.

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    Bibliographic Info

    Article provided by Departamento de Economía - Pontificia Universidad Católica del Perú in its journal Revista Economía.

    Volume (Year): (2002)
    Issue (Month): 50 ()
    Pages: 173-204

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    Handle: RePEc:pcp:pucrev:y:2002:i:50:p:173-204

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    Postal: Av. Universitaria 1801, San Miguel, Lima, Perú
    Phone: (511) 626-2000 ext. 4950, 4951
    Fax: (511) 626-2874
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    Related research

    Keywords: Curva de rendimientos; formación de mercado deuda pública.;

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