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Interrelación entre los mercados de derivados y el mercado de bonos soberanos del Perú y su impacto en las tasas de interés

Author

Listed:
  • Choy, Marylin

    (Banco Central de Reserva del Perú)

  • Cerna, Jorge

    (Banco Central de Reserva del Perú)

Abstract

Una de las consecuencias de las políticas monetarias expansivas aplicadas en los países desarrollados es el crecimiento de los mercados financieros en países emergentes como el Perú. No solo se observa una evolución de los mercados domésticos, sino que su integración a los mercados internacionales es cada vez mayor. Por ello es importante analizar la interrelación entre los mercados financieros y sus implicancias en la formación de precios de los activos locales. Especial atención merece el mercado de derivados de monedas por ser el que mayor impacto puede tener en los otros mercados locales, ante condiciones de arbitraje. Este documento tiene como objetivo evaluar el funcionamiento de los mercados monetarios y de derivados peruanos y su implicancia en los rendimientos de los bonos soberanos y en las tasas de interés domésticas en general.

Suggested Citation

  • Choy, Marylin & Cerna, Jorge, 2012. "Interrelación entre los mercados de derivados y el mercado de bonos soberanos del Perú y su impacto en las tasas de interés," Working Papers 2012-021, Banco Central de Reserva del Perú.
    • Handle: RePEc:rbp:wpaper:2012-021
    as

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    References listed on IDEAS

    as
    1. Naohiko Baba & Frank Packer & Teppei Nagano, 2008. "The spillover of money market turbulence to FX swap and cross-currency swap markets," BIS Quarterly Review, Bank for International Settlements, March.
    2. Unknown, 2005. "Forward," 2005 Conference: Slovenia in the EU - Challenges for Agriculture, Food Science and Rural Affairs, November 10-11, 2005, Moravske Toplice, Slovenia 183804, Slovenian Association of Agricultural Economists (DAES).
    3. Renzo Rossini & Zenon Quispe & Donita Rodriguez, 2011. "Capital flows, monetary policy and forex intervention in Peru," BIS Papers chapters, in: Bank for International Settlements (ed.), Capital flows, commodity price movements and foreign exchange intervention, volume 57, pages 261-274, Bank for International Settlements.
    4. Akram, Q. Farooq & Rime, Dagfinn & Sarno, Lucio, 2008. "Arbitrage in the foreign exchange market: Turning on the microscope," Journal of International Economics, Elsevier, vol. 76(2), pages 237-253, December.
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    Cited by:

    1. Bank for International Settlements, 2015. "Currency carry trades in Latin America," BIS Papers, Bank for International Settlements, number 81.
    2. Bank for International Settlements, 2017. "Foreign exchange liquidity in the Americas," BIS Papers, Bank for International Settlements, number 90.
    3. Fredy Gamboa-Estrada, 2017. "Carry Trade Incentives and Turbulence in the Foreign Exchange Market in Colombia," Manchester School, University of Manchester, vol. 85, pages 57-78, September.

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    More about this item

    Keywords

    Derivados; monedas; bonos; arbitraje; política monetaria;
    All these keywords.

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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