La formación de la curva de rendimientos en nuevos soles en Perú

Augusto Rodriguez and Julio Alberto Villavicencio

No 2005-239, Documentos de Trabajo / Working Papers from Departamento de Economía - Pontificia Universidad Católica del Perú

Abstract: The aim 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 the different internal and external policies and events. For this purpose, the zero coupon yield curve or the spot curve is estimated, based on the Nelson & Siegel (1987) method. The analysis suggests that in the Peruvian case the forming 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 as the foreign interest rate development. 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.

Pages: 32 pages
Date: 2005
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