Estimation of the sovereign yield curve of Peru : the role of macroeconomic and latent factors
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. In this paper, following Ang and Piazzesi (2003), we study the relevance of m...
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| Format: | Dissertation |
| Language: | English |
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Pontificia Universidad Católica del Perú
2017
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| Online Access: | http://tesis.pucp.edu.pe/repositorio/handle/123456789/8049 |