Autores: Rebolledo, J., Cifuentes, J.
Palabras Clave: Pronósticos Combinados, Nelson y Siegel, TPM, Banco Central de Chile.
This paper explores forecast combination models for the Chilean Monetary Policy. The motivation driver of this study is to explore whether, in line with current evidence, a combined forecast can succeed in producing better forecasts of the monetary policy than those produced by single models. Using realized swap rates and analyst forecasts a model is constructed looking to anticipate changes in the monetary policy rate. The results suggest that the forecast produced by the combined model produce better forecasts than both single alternatives used as benchmark.
The present research paper provides a starting point for further complex models with integration of multiples Central Banks Monetary Policy. The establish model can be useful for policy makers, who relates future shifts in the macroeconomic behavior of the economy, conducting current monetary policy, and also, how these forecasts can influence the process of formation of expectations. Market participants can, additionally, benefit from these forecasts as they impact market interest rates used in asset pricing.