Information extracted from financial derivatives on interest rates is commonly used to forecast movements in interest rates. However, such an extraction generally assumes that agents are risk-neutral, which is not necessarily the case. Accordingly, it might be useful to account for the agents’ risk-aversion when doing these forecasts, which one can implement by adding a risk-correction. In this context, we use TIIE-28 swaps to forecast changes in monetary policy in Mexico, using a set of financial variables to account for the risk-correction. We assess whether models with a risk-correction outperform the TIIE-28 swaps rates, and find that the in-sample explained variability improves when using a risk-correction. Centrally, we document that our main model’s out-of-sample forecasts are similar for short horizons (3-month), and statistically significantly better for longer horizons (9 to 24-month), compared to the direct use of TIIE-28 swaps interest rates.

中文翻译：

---

TIIE-28 互换作为墨西哥货币政策的风险调整预测

从金融衍生品中提取的利率信息通常用于预测利率变动。然而，这种提取通常假设代理是风险中性的，但情况并非如此。因此，在进行这些预测时考虑代理的风险规避可能是有用的，可以通过添加风险校正来实现。在这种情况下，我们使用 TIIE-28 互换来预测墨西哥货币政策的变化，并使用一组金融变量来解释风险修正。我们评估具有风险校正的模型是否优于 TIIE-28 掉期利率，并发现使用风险校正时样本内解释的可变性得到改善。集中地，我们记录了我们的主要模型的样本外预测对于短期（3个月）是相似的，