From the static approach to the dynamic approach in the analysis of the term structure in the sovereign debt: Case study: Uruguay

The term structure in the sovereign debt provides the relationship between the rate of return on the assets and their maturity. Its analysis is of vital importance in macroeconomics, finance and monetary policy. The work focuses on analyzing the statics approach used in Uruguay and proposes to exami...

Descripción completa

Guardado en:
Detalles Bibliográficos
Autor principal: Sosa, Andrés
Formato: Artículo publishedVersion
Lenguaje:Español
Publicado: CIMBAGE - IADCOM - Facultad de Ciencias Económicas - Universidad de Buenos Aires 2020
Materias:
Deuda soberana
curva de rendimiento
modelos estáticos
modelos dinámicos
Sovereign debt
term structure
static models
dynamic models
Acceso en línea:https://ojs.economicas.uba.ar/CIMBAGE/article/view/1944
https://repositoriouba.sisbi.uba.ar/gsdl/cgi-bin/library.cgi?a=d&c=cimbage&d=1944_oai
Aporte de:
Repositorio Digital de la Universidad de Buenos Aires (UBA) de Universidad de Buenos Aires
Descripción
Sumario:The term structure in the sovereign debt provides the relationship between the rate of return on the assets and their maturity. Its analysis is of vital importance in macroeconomics, finance and monetary policy. The work focuses on analyzing the statics approach used in Uruguay and proposes to examine an alternative approach that takes into account the dynamics of interest rates. The aim is to use the Gaussian Affine Term Structure models in order to develop applications to the sovereign bond market in Uruguay. JEL Code: C01, C23, C51, E43, E44, H63

Ejemplares similares