IDENTIFICACIÓN DE DETERMINANTES DEL RENDIMIENTO DE INVERSIONES DE LOS FONDOS PRIVADOS DE PENSIONES DEL PERÚ MEDIANTE UNA REGRESIÓN KERNEL (2006-2022)

Flórez W.; Calderón-Contreras V.J.; Angulo-Bustinza H.; Henao-Rodríguez C.; Lis-Gutiérrez J.P. · Investigacion Operacional (2026)

Resumen

The article addresses the issue of economic sustainability of pension systems in the context of population aging, focusing on the case of Peru and its system of private pension funds (Type 1, Type 2, and Type 3). It highlights the role of Private Pension Fund Administrators (AFP) in managing the savings of affiliates and the importance of factors such as fund value, inflation, Gross Domestic Product (GDP), Lima Stock Exchange index (IGBVL), bank interest rate, country risk, and reference interest rate in the performance of pension funds. The study considered a 16-year evaluation horizon, from 2006 to 2022. Kernel regression and Bootstrap method with 400 replications were applied since the data do not meet the normality assumption. The findings allowed identifying that the determinants capable of explaining more than 70% of the variability of the Funds are: pension fund value, reference interest rate, and country risk. The rest of the analyzed variables were not significant.

Instituciones: Universidad ESAN; Universidad Nacional de San Antonio Abad del Cusco; Universidad Continental