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

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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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