Pronósticos de la estructura temporal de las tasas de interés en México con base en un modelo afín

Rocio Elizondo

Estudios Económicos, 2017, vol. 32, issue 2, 213-253

Abstract: This paper shows that an affine model allows to equalize or improve the forecasts of the term structure of interest rates in Mexico. The forecasting model is a linear relationship between interest rates and three observable factors, using maturities 1-60 months. Affine model predictions are compared with those of forward rates, AR(1), VAR(1), and random walks. Affine model has a performance comparable to other models for horizons of 12- and 18-months, except for the random walk, which presents smaller forecast for maturities of 24- and 36- months. However, improving its forecasting performance for the 24- month horizon, and especially for 60-month maturities.

Keywords: affine model; forecasts; yield curve; principal components; non-arbitrage condition (search for similar items in EconPapers)
JEL-codes: C12 C53 E43 G12 (search for similar items in EconPapers)
Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:emx:esteco:v:32:y:2017:i:2:p:213-253

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