Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/240690 
Year of Publication: 
2020
Series/Report no.: 
Working Papers No. 2020-01
Publisher: 
Banco de México, Ciudad de México
Abstract (Translated): 
Four specifications of an affine model with risk aversion and no arbitrage conditions are estimated for the Mexican Term Structure of Interest Rates, contrasting their empirical properties and the accuracy of their in and out of sample forecasts. The traditional models are extended by adding macroeconomic variables to analyze if the latter provide sufficient information to improve the adjustment and the forecast of interest rates. Using monthly data of the Zero Coupon Bonds, VIX, WTI, exchange rate, inflation and growth in the period 2002-2017, it is found that, although there is no superiority of a single model for the in and/or out of sample forecast of the yield curve, adding macroeconomic variables helps to improve the short and medium term forecasts independently of the type of factors used.
Subjects: 
Afin Model
Yield Curve Forecast
Principal Components
Kalman Filter
No-Arbitrage Condition
JEL: 
C12
C32
C53
E43
E47
G12
Document Type: 
Working Paper
Appears in Collections:

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.