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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Juliana Jaramillo-Echeverri, María Teresa Ramírez-Giraldo
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Leonardo Fabio Morales, Diego Astorga-Rojas, Nicolas Guida-Johnson
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