Effects of real and financial variables on the yield curve of sovereign bonds in soles

Authors

DOI:

https://doi.org/10.15381/quipu.v30i63.23954

Keywords:

yield curve, nonparametric models, zero coupon curve, macrofinancial variables, principal component analysis, SFAVAR

Abstract

Objective: Analyze the effects of real and financial variables on the yield curve of sovereign bonds in soles for the period January 2008 – September 2022. Method: By using the Piecewise Cubic Hermite Interpolating Polynomial interpolation method, the zero coupon curve was estimated, which is broken down into unobservable factors (level, slope and curvature) using a principal component model; subsequently, these factors were exposed to shock variables through a Structural Factor Augmented Vector Autoregressive. Results: There are changes in the US monetary policy rate or increases in the financial volatility, which have an impact on the entire yield curve; besides, an increase in the GDP variation rate, in inflation or in the exchange rate affects the level of the yield curve in a negative way; while a negative shock in the monetary policy rate increases the level and slope of the yield curve. Conclusion: External variables and the decisions of the Central Bank affect significantly the yield curve.

Downloads

Download data is not yet available.

Author Biographies

  • Albert Farith Chávarri Balladares, Ministerio de Economía y Finanzas. Lima, Peru

    Master in Economics from the Pontificia Universidad Católica del Perú. He is a Chartered and Qualified Economist with more than twelve years of professional experience in the public and private sector. He has taught at Universidad Nacional Mayor de San Marcos, Universidad Nacional del Callao and Universidad Continental. He has experience in economic and financial research.

  • Edward Neciosup Ramos, Universidad de Lima. Peru

    Master in Economics with more than 10 years of experience in the field of regulation of the Private Pension System, especially in the management of the investment portfolio of pension funds. He also has experience as a consultant in the measurement of consequential damages and lost profits for economic appraisals. He is currently a senior regulatory analyst at the Superintendencia de Banca, Seguros y AFP.

     

Downloads

Published

2022-11-28

Issue

Vol. 30 No. 63 (2022)

Section

Original papers

License

Copyright (c) 2022 Albert Farith Chávarri Balladares, Edward Neciosup Ramos

Creative Commons License

This work is licensed under a Creative Commons Attribution 4.0 International License.

AUTHORS RETAIN THEIR RIGHTS:

a. Authors retain their trade mark rights and patent, and also on any process or procedure described in the article.

b. Authors retain their right to share, copy, distribute, perform and publicly communicate their article (eg, to place their article in an institutional repository or publish it in a book), with an acknowledgment of its initial publication in Quipukamayoc .

c. Authors retain theirs right to make a subsequent publication of their work, to use the article or any part thereof (eg a compilation of his papers, lecture notes, thesis, or a book), always indicating the source of publication (the originator of the work, journal, volume, number and date).

How to Cite

Chávarri Balladares, A. F., & Neciosup Ramos, E. (2022). Effects of real and financial variables on the yield curve of sovereign bonds in soles . Quipukamayoc, 30(63), 19-28. https://doi.org/10.15381/quipu.v30i63.23954