Modelos vectoriales autorregresivos en el pronóstico de la curva de rendimiento cupón cero del Gobierno Peruano

• Autor: Dionicio Rosado, Deivy Yosip
• Formato: tesis de grado
• Fecha de Publicación: 2013
• Institución: Universidad Nacional de Trujillo
• Repositorio: UNITRU-Tesis
• Lenguaje: español
• OAI Identifier: oai:dspace.unitru.edu.pe:20.500.14414/8786
• Enlace del recurso: https://hdl.handle.net/20.500.14414/8786
• Nivel de acceso: acceso abierto
• Materia: Modelos Var, Cupón cero, Curva de rendimiento

The yield curve is a widely used tool for decision makers monetary policy or plan their investments, according to the valuation, trading or hedging financial instruments. Because of its importance, the interest of this thesis aimed to determine the model that predicts the zero coupon yield curve Peruvian government. To do this, we estimated the daily fee structure zero coupon or spot curve through Vector Autoregressive Models (VAR), for it is based on a sample of 756 daily rates Spot Performance Sovereign Bonds maturing Peruvian Government to: 05 May 2015 (ser01), August 12, 2026 (ser02) and August 12, 2037 (ser03). Finding such results the VAR (2):_x000D_ SER01 SER01 = 0.911724156554 * (-1) + 0.0640536274213 * SER01 (-2) + * 0.221189915528 SER02 (-1) - * 0.194899524638 SER02 (-2) - 0.0429637415452 * SER03 (-1) + 0.0426318529443 * SER03 (-2) - 0.0548891371956_x000D_ SER01 SER02 = 0.0981088271898 * (-1) - 0.0962863018585 * SER01 (-2) + 0.933358408775 * SER02 (-1) + 0.0561247356621 * SER02 (-2) + 0.153025808579 * SER03 (-1) - 0.15546618703 * SER03 (-2) + 0.0751235375087_x000D_ SER01 SER03 = 0.0417344728586 * (-1) - 0.0432335010554 * SER01 (-2) + 0.19112018575 * SER02 (-1) - 0.168651422863 * SER02 (-2) + 0.928651807912 * SER03 (-1) + 0.0454341303391 * SER03 (-2) + 0.0328214402768_x000D_ However, other methods can model the behavior of the data from the daily rates of Zero Coupon Yield Peruvian Government, so it is recommended to review other methodologies and compare results obtained with those found in this thesis