<?xml version="1.0" encoding="ISO-8859-1"?><article xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance">
<front>
<journal-meta>
<journal-id>0186-7202</journal-id>
<journal-title><![CDATA[Estudios Económicos (México, D.F.)]]></journal-title>
<abbrev-journal-title><![CDATA[Estud. Econ. (México, D.F.)]]></abbrev-journal-title>
<issn>0186-7202</issn>
<publisher>
<publisher-name><![CDATA[El Colegio de México A.C.]]></publisher-name>
</publisher>
</journal-meta>
<article-meta>
<article-id>S0186-72022017000200213</article-id>
<title-group>
<article-title xml:lang="es"><![CDATA[Pronósticos de la estructura temporal de las tasas de interés en México con base en un modelo afín]]></article-title>
<article-title xml:lang="en"><![CDATA[Forecasting the term structure of interest rates in Mexico using an affine model]]></article-title>
</title-group>
<contrib-group>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Elizondo]]></surname>
<given-names><![CDATA[Rocío]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
</contrib-group>
<aff id="Af1">
<institution><![CDATA[,Banco de México  ]]></institution>
<addr-line><![CDATA[ ]]></addr-line>
</aff>
<pub-date pub-type="pub">
<day>00</day>
<month>12</month>
<year>2017</year>
</pub-date>
<pub-date pub-type="epub">
<day>00</day>
<month>12</month>
<year>2017</year>
</pub-date>
<volume>32</volume>
<numero>2</numero>
<fpage>213</fpage>
<lpage>253</lpage>
<copyright-statement/>
<copyright-year/>
<self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_arttext&amp;pid=S0186-72022017000200213&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_abstract&amp;pid=S0186-72022017000200213&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_pdf&amp;pid=S0186-72022017000200213&amp;lng=en&amp;nrm=iso"></self-uri><abstract abstract-type="short" xml:lang="es"><p><![CDATA[Resumen Se muestra que un modelo afín permite igualar o mejorar los pronósticos de la estructura temporal de las tasas de interés en México. El modelo de pronóstico se especifica como una relación lineal entre las tasas de interés y tres factores observables, para vencimientos de 1-60 meses. Los pronósticos del modelo afín son comparados con estos de una tasa forward, un AR(1), un VAR(1) y una caminata aleatoria. El modelo afín tiene un desempeño comparable con los otros modelos para horizontes de 12- y 18- meses, con excepción de la caminata aleatoria, que presenta menores pronósticos para los vencimientos de 24- y 36-meses. No obstante, el modelo afín mejora su desempeño de pronóstico para los horizontes de 24- meses, principalmente para vencimientos de 60-meses.]]></p></abstract>
<abstract abstract-type="short" xml:lang="en"><p><![CDATA[Abstract This paper shows that an a&#64259;ne 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. A&#64259;ne model predictions are compared with those of forward rates, AR(1), VAR(1), and random walks. A&#64259;ne 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.]]></p></abstract>
<kwd-group>
<kwd lng="es"><![CDATA[modelo afín]]></kwd>
<kwd lng="es"><![CDATA[pronósticos]]></kwd>
<kwd lng="es"><![CDATA[curva de rendimientos]]></kwd>
<kwd lng="es"><![CDATA[componentes principales]]></kwd>
<kwd lng="es"><![CDATA[condición de no arbitraje]]></kwd>
<kwd lng="en"><![CDATA[a&#64259;ne model]]></kwd>
<kwd lng="en"><![CDATA[forecasts]]></kwd>
<kwd lng="en"><![CDATA[yield curve]]></kwd>
<kwd lng="en"><![CDATA[principal components]]></kwd>
<kwd lng="en"><![CDATA[non-arbitrage condition]]></kwd>
</kwd-group>
</article-meta>
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