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Quipukamayoc
versión impresa ISSN 1560-9103versión On-line ISSN 1609-8196
Resumen
CHAVARRI BALLADARES, Albert Farith y NECIOSUP RAMOS, Edward. Effects of real and financial variables on the yield curve of sovereign bonds in soles. Quipukamayoc [online]. 2022, vol.30, n.63, pp.19-28. Epub 28-Nov-2022. ISSN 1560-9103. http://dx.doi.org/10.15381/quipu.v30i63.23954.
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.
Palabras clave : yield curve; non-parametric models; zero coupon curve; macrofinancial variables; principal component analysis; SFAVAR.