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Estimation of the Sovereign Yield Curve of Peru: The Role of Macroeconomic and Latent Factors
(Pontificia Universidad Católica del Perú. Departamento de Economía, 2017-03)
The study of the yield curve has been a topic that interested economists for a long time since the term structure of interest rates is an important transmission channel of monetary policy to inflation and real activity. ...
Estimación de la curva de rendimiento cupón cero para el Perú y su uso para el análisis monetario
(Pontificia Universidad Católica del Perú. Fondo Editorial, 2010)
This paper estimates the zero coupon yield curve for the Peruvian government bond market. We employ two methods of estimation proposed by Nelson y Siegel (1987) and Svensson (1994). Model performance is evaluated based on ...
La formación de la curva de rendimientos en nuevos soles en Perú
(Pontificia Universidad Católica del Perú. Fondo Editorial, 2002)
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 ...