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...

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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
id I28-R145-1944_oai
record_format dspace
spelling I28-R145-1944_oai2025-02-11 Sosa, Andrés 2020-11-10 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 La curva de rendimientos en la deuda soberana brinda la relación entre las tasas de rendimientos de los activos que la componen y su vencimiento. Su correcta modelación es de vital importancia en la macroeconomía, las finanzas en general y en el contexto de la política monetaria. El trabajo se enfoca en analizar los métodos de estimación mediante el enfoque estático que se utilizan en Uruguay y se propone examinar un enfoque alternativo que tenga en cuenta la dinámica de las curvas de rendimiento. Con este fin se utilizan los modelos Gaussian Affine Term Structure para realizar aplicaciones al mercado de bonos soberanos en Uruguay nominados en dólares. JEL Code: C01, C23, C51, E43, E44, H63 text/html application/pdf https://ojs.economicas.uba.ar/CIMBAGE/article/view/1944 spa CIMBAGE - IADCOM - Facultad de Ciencias Económicas - Universidad de Buenos Aires https://ojs.economicas.uba.ar/CIMBAGE/article/view/1944/2656 https://ojs.economicas.uba.ar/CIMBAGE/article/view/1944/2736 Derechos de autor 2020 Universidad de Buenos Aires Cuadernos del CIMBAGE; Vol. 2 No. 22 (2020): Cuadernos del CIMBAGE N°22 (December 2020); 1-23 Cuadernos del CIMBAGE; Vol. 2 Núm. 22 (2020): Cuadernos del CIMBAGE N°22 (Diciembre 2020); 1-23 1669-1830 1666-5112 Deuda soberana curva de rendimiento modelos estáticos modelos dinámicos Sovereign debt term structure static models dynamic models From the static approach to the dynamic approach in the analysis of the term structure in the sovereign debt: Case study: Uruguay Desde el enfoque estático al enfoque dinámico en el análisis de las curvas de rendimiento en la deuda soberana: Caso de estudio: Uruguay info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion https://repositoriouba.sisbi.uba.ar/gsdl/cgi-bin/library.cgi?a=d&c=cimbage&d=1944_oai
institution Universidad de Buenos Aires
institution_str I-28
repository_str R-145
collection Repositorio Digital de la Universidad de Buenos Aires (UBA)
language Español
orig_language_str_mv spa
topic Deuda soberana
curva de rendimiento
modelos estáticos
modelos dinámicos
Sovereign debt
term structure
static models
dynamic models
spellingShingle Deuda soberana
curva de rendimiento
modelos estáticos
modelos dinámicos
Sovereign debt
term structure
static models
dynamic models
Sosa, Andrés
From the static approach to the dynamic approach in the analysis of the term structure in the sovereign debt: Case study: Uruguay
topic_facet Deuda soberana
curva de rendimiento
modelos estáticos
modelos dinámicos
Sovereign debt
term structure
static models
dynamic models
description 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
format Artículo
publishedVersion
author Sosa, Andrés
author_facet Sosa, Andrés
author_sort Sosa, Andrés
title From the static approach to the dynamic approach in the analysis of the term structure in the sovereign debt: Case study: Uruguay
title_short From the static approach to the dynamic approach in the analysis of the term structure in the sovereign debt: Case study: Uruguay
title_full From the static approach to the dynamic approach in the analysis of the term structure in the sovereign debt: Case study: Uruguay
title_fullStr From the static approach to the dynamic approach in the analysis of the term structure in the sovereign debt: Case study: Uruguay
title_full_unstemmed From the static approach to the dynamic approach in the analysis of the term structure in the sovereign debt: Case study: Uruguay
title_sort from the static approach to the dynamic approach in the analysis of the term structure in the sovereign debt: case study: uruguay
publisher CIMBAGE - IADCOM - Facultad de Ciencias Económicas - Universidad de Buenos Aires
publishDate 2020
url 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
work_keys_str_mv AT sosaandres fromthestaticapproachtothedynamicapproachintheanalysisofthetermstructureinthesovereigndebtcasestudyuruguay
AT sosaandres desdeelenfoqueestaticoalenfoquedinamicoenelanalisisdelascurvasderendimientoenladeudasoberanacasodeestudiouruguay
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