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

Author

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  • Augusto Rodríguez
  • Julio Villavicencio

Abstract

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.

Suggested Citation

  • Augusto Rodríguez & Julio Villavicencio, 2002. "La formación de la curva de rendimientos en nuevos soles en el Peru," Revista Economía, Fondo Editorial - Pontificia Universidad Católica del Perú, issue 50, pages 173-204.
  • Handle: RePEc:pcp:pucrev:y:2002:i:50:p:173-204
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    File URL: http://revistas.pucp.edu.pe/index.php/economia/article/view/565/555
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    Keywords

    Curva de rendimientos; formación de mercado deuda pública.;

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • G1 - Financial Economics - - General Financial Markets

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