Resumo

ELIZONDO, Rocío. Forecasting the term structure of interest rates in Mexico using an affine model. Estud. Econ. (México, D.F.) [online]. 2017, vol.32, n.2, pp.213-253. ISSN 0186-7202.

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.

Palavras-chave : affine model; forecasts; yield curve; principal components; non-arbitrage condition.