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Pronósticos de la estructura temporal de las tasas de interés en México con base en un modelo afín

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  • Rocío Elizondo

    (Banco de México)

Abstract

This paper shows that an affine model allows to equalize or improve the forecasts of the term structure of interest rates in Mexico. The forecasting model is a linear relationship between interest rates and three observable factors, using maturities 1-60 months. Affine model predictions are compared with those of forward rates, AR(1), VAR(1), and random walks. Affine model has a performance comparable to other models for horizons of 12- and 18-months, except for the random walk, which presents smaller forecast for maturities of 24- and 36- months. However, improving its forecasting performance for the 24- month horizon, and especially for 60-month maturities.

Suggested Citation

  • Rocío Elizondo, 2017. "Pronósticos de la estructura temporal de las tasas de interés en México con base en un modelo afín," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 32(2), pages 213-253.
    • Handle: RePEc:emx:esteco:v:32:y:2017:i:2:p:213-253
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    File URL: https://estudioseconomicos.colmex.mx/index.php/economicos/article/view/7/7
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    More about this item

    Keywords

    affine model; forecasts; yield curve; principal components; non-arbitrage condition;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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