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

• Autores: Chávarri Balladares, Albert Farith, Neciosup Ramos, Edward
• Formato: artículo
• Fecha de Publicación: 2022
• Institución: Universidad Nacional Mayor de San Marcos
• Repositorio: Revistas - Universidad Nacional Mayor de San Marcos
• Lenguaje: español
• OAI Identifier: oai:ojs.csi.unmsm:article/23954
• Enlace del recurso: https://revistasinvestigacion.unmsm.edu.pe/index.php/quipu/article/view/23954
• Nivel de acceso: acceso abierto
• Materia: yield curve; nonparametric models; zero coupon curve; macrofinancial variables; principal component analysis; SFAVAR; curva de rendimiento; modelos no paramétricos; curva cupón cero; variables macrofinancieras; análisis de componentes principales

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.