Suchergebnisse

PurposeFollowing Ang and Piazzesi's (2003) study, the authors use an affine term structure model to study the relevance of macroeconomic (domestic and foreign) factors for Peru's sovereign yield curve in the period from November 2005 to December 2015. The paper aims to discuss this issue.Design/methodology/approachRisk premia are modeled as time-varying and depend on both observable and unobservable factors; and the authors estimate a vector autoregressive model considering no-arbitrage assumptions.FindingsThe authors find evidence that macro factors help to improve the fit of the model and explain a substantial amount of variation in bond yields. However, their influence is very sensitive to the specification model. Variance decompositions show that macro factors explain a significant share of the movements at the short and middle segments of the yield curve (up to 50 percent), while unobservable factors are the main drivers for most of the movements at the long end of the yield curve (up to 80 percent). Furthermore, the authors find that international markets are relevant for the determination of the risk premium in the short term. Higher uncertainty in international markets increases bond yields, although this effect vanishes quickly. Finally, the authors find that no-arbitrage restrictions with the incorporation of macro factors improve forecasts.Originality/valueTo the authors' knowledge this is the first application of this type of models using data from an emerging country such as Peru.

We analyzed the impact of currency devaluation on the Bolivian economy, employing a dynamic and extended version of the PEP 1-1 standard model to simulate effects impact on both the main macroeconomic aggregates and the financial stocks and flows of economic agents. We built a new Financial Social Accounting Matrix for the year 2014 and calibrated the model to it. Besides simulating a devaluation of the nominal exchange rate, we also analyzed a policy-response scenario, an external-shock scenario, and a gradual-devaluation scenario. In the policy-response scenario, devaluation was accompanied by a reduction in government expenses (fiscal adjustment); in the external-shock scenario, devaluation came with an increase in the export price of gas (main export commodity); and, in the gradual-devaluation scenario, the exchange-rate policy relaxed gradually. The external-shock scenario dominated the other scenarios in terms of higher average growth and less average unemployment. The fiscal-adjustment scenario, however, dominated in terms of inflation, though it implied an inflationary shock in 2020. ; Facultad de Ciencias Económicas ; Centro de Estudios Distributivos, Laborales y Sociales