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

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

The most recent

Hans-Erik Edsand, Andrés Aleán-Romero, Jhorland Ayala-García, Tania Jiménez Castilla, Sandra C. Valencia
Ana María Iregui-Bohórquez, Ligia Alba Melo-Becerra, María Teresa Ramírez-Giraldo, Jorge Leonardo Rodríguez Arenas
Diana Ricciulli-Marin, Mateo Uribe-Castro

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