Borradores de Economia
Número:
761
Publicado:
Clasificación JEL:
C32, C45, E43, G17
Palabras clave:
Term structure of interest rates, Nelson & Siegel, Svensson, out-of-sample forecast
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Sandra Isabel Salamanca-Gil, Enrique Montes-Uribe, Juan Sebastián Silva-Rodríguez
Jhorland Ayala-García, Yesica Tatiana Lara-Silva, Alejandro Alberto Vargas-Villamil, Lina Romero-Chaparro
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