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Jiménez, J., (2024). Factores determinantes del spread de los bonos soberanos: Perú, 2000 – 2018 [Universidad Nacional de Trujillo]. https://hdl.handle.net/20.500.14414/21196
Jiménez, J., Factores determinantes del spread de los bonos soberanos: Perú, 2000 – 2018 []. PE: Universidad Nacional de Trujillo; 2024. https://hdl.handle.net/20.500.14414/21196
@phdthesis{renati/1048002,
title = "Factores determinantes del spread de los bonos soberanos: Perú, 2000 – 2018",
author = "Jiménez García, Jesús Alberto",
publisher = "Universidad Nacional de Trujillo",
year = "2024"
}
Title: Factores determinantes del spread de los bonos soberanos: Perú, 2000 – 2018
Authors(s): Jiménez García, Jesús Alberto
Advisor(s): Polo Campos, Ángel Francisco
Keywords: Renta fija
Bonos soberanos
OCDE field: https://purl.org/pe-repo/ocde/ford#5.02.00
Issue Date: 2024
Institution: Universidad Nacional de Trujillo
Abstract: La investigación tiene como objetivo determinar cuáles han sido los factores que
incidieron en la determinación del spread soberano del Perú en el periodo 2000-2018,
investigación de alcance explicativo para lo cual se aplicó una modelación econométrica
de datos panel. Como primer paso se utilizó la regresión agrupada, en un segundo paso
el modelo con efectos aleatorios y modelo con efectos fijos, como tercer paso se utilizó
la prueba de Hausman y como cuarto paso se aplicó las pruebas de Wald y de
Wooldridge; los resultados muestras que: El modelo que mejor se ajusta a la estimación
del spread de los bonos soberanos del Perú, Chile y Colombia, es el modelo de Datos
Panel de Efectos Fijos; de las doce variables explicativas planteadas en el modelo, tan
solo cuatro tuvieron resultados significativos y relevantes en el análisis estático y cinco
variables en el análisis dinámico; Las variables que impactan positivamente en el spread
de los bonos soberanos de los tres países son: la inflación, la Dummy de crisis financiera
y el primer rezago de la variable endógena, mientras que las que impactan negativamente
son: la razón Inversión Total a PBI y la Razón Saldo en la Cuenta Corriente a PBI; Por
cada aumento en 1% de la inflación y la variable Dummy, el spread de los bonos
soberanos de los tres países crecerá 0,09% y 0,95% respectivamente; Por cada aumento
en 1% de la razón Inversión Total a PBI y la razón Saldo en Cuenta Corriente a PBI, el
spread de los bonos soberanos de los tres países se reducirá en 0,16% y 0,13%
respectivamente.
The objective of this research is to determine which factors have influenced the determination of the sovereign spread of Peru in the period 2000-2018, an investigation of explanatory scope for which econometric modeling and estimation was applied through panel data, in a first step using the grouped regression, in a second step the model with random effects and model with fixed effects, third step using the Hausman test and fourth step applying the Wald test and the Wooldridge test, the results show that: The model that best fits the estimation of the sovereign bond spread of Peru, Chile and Colombia, is the Fixed Effects Panel data model; of the twelve explanatory variables proposed in the model, only four had significant and relevant results in the static analysis and five variables in the dynamic analysis; The variables that positively impact the sovereign bond spread of the three countries are: Inflation, the Financial Crisis Dummy and the first lag of the endogenous variable, while those that impact negatively are: the Total Investment to GDP ratio and the Current Account Balance to GDP Ratio; For every 1% increase in inflation and the Dummy variable, the sovereign bond spread of the three countries will increase by 0.09% and 0.95% respectively; For every 1% increase in the Total Investment to GDP ratio and the Current Account Balance to GDP ratio, the sovereign bond spread of the three countries will decrease by 0.16% and 0.13% respectively.
The objective of this research is to determine which factors have influenced the determination of the sovereign spread of Peru in the period 2000-2018, an investigation of explanatory scope for which econometric modeling and estimation was applied through panel data, in a first step using the grouped regression, in a second step the model with random effects and model with fixed effects, third step using the Hausman test and fourth step applying the Wald test and the Wooldridge test, the results show that: The model that best fits the estimation of the sovereign bond spread of Peru, Chile and Colombia, is the Fixed Effects Panel data model; of the twelve explanatory variables proposed in the model, only four had significant and relevant results in the static analysis and five variables in the dynamic analysis; The variables that positively impact the sovereign bond spread of the three countries are: Inflation, the Financial Crisis Dummy and the first lag of the endogenous variable, while those that impact negatively are: the Total Investment to GDP ratio and the Current Account Balance to GDP Ratio; For every 1% increase in inflation and the Dummy variable, the sovereign bond spread of the three countries will increase by 0.09% and 0.95% respectively; For every 1% increase in the Total Investment to GDP ratio and the Current Account Balance to GDP ratio, the sovereign bond spread of the three countries will decrease by 0.16% and 0.13% respectively.
Link to repository: https://hdl.handle.net/20.500.14414/21196
Discipline: Doctorado en Economía y Desarrollo Industrial
Grade or title grantor: Universidad Nacional de Trujillo. Escuela de Posgrado
Grade or title: Doctor en Economía y Desarrollo Industrial
Juror: Claros Aguilar de Larrea, Violeta; Rodríguez Armas, Angela Fremiot; Rodríguez Nomura, Huber Ezequiel; Polo Campos, Ángel Francisco
Register date: 22-Apr-2024
This item is licensed under a Creative Commons License