Olivares Rios, Alejandra; Rodriguez, Gabriel; Ataurima … - In: Journal of Economic Studies 46 (2019) 3, pp. 533-563
Purpose: Following 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....