Forecasting Latin-American Yield Curves: An Artificial Neural Network Approach

Number: 
761
Published: 
Classification JEL: 
C32, C45, E43, G17
Keywords: 
Human capital agglomeration, Social returns, Private returns, Externalities, Uncertainty, Fiscal policy

This document explores the predictive power of the yield curves in Latin America (Colombia, Mexico, Peru and Chile) taking into account the factors set by the specifications of Nelson y Siegel and Svensson. Several forecasting methodologies are contrasted