Forecasting latin-american yield curves: an artificial neural network approach

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Borradores de Economía; No. 761

Date published

2013-03-01

Date

2013-03-01

Authors

Vela, Daniel

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spa
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Las opiniones contenidas en el presente documento son responsabilidad exclusiva de los autores y no comprometen al Banco de la República ni a su Junta Directiva.

The opinions contained in this document are the sole responsibility of the author and do not commit Banco de la República or its Board of Directors.

Abstract

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

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JEL Codes

E43 - Interest Rates: Determination, Term Structure, and Effects

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Keywords

Keywords

Term structure of interest rates , Nelson y Siegel , Svensson , out-of-sample forecast , Artificial neural networks

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https://repositorio.banrep.gov.co/handle/20.500.12134/5901
 https://hdl.handle.net/20.500.12134/5901
 https://ideas.repec.org/p/bdr/borrec/761.html
 https://doi.org/10.32468/be.761

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