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No-linealidades en la demanda de efectivo en Colombia: las redes neuronales como herramienta de pronóstico

Author

Listed:
  • Martha A. Misas A.
  • Enrique López E.
  • Carlos A. Arango A.
  • Juan Nicolás Hernández A.

Abstract

El pronóstico de la demanda de efectivo en Colombia se ha convertido en un verdadero reto en el pasado reciente. En la última década la economía sufrió importantes transformaciones, las cuales trajeron consigo fuertes cambios en las variables que la determinan: la inflación y, por ende, las tasas de interés cayeron sustancialmente, el sistema de pagos experimentó importantes innovaciones tecnológicas y el impuesto a las transacciones financieras incentivó el uso del efectivo. Estos cambios cobran especial relevancia en la medida en que la demanda de dinero esté asociada en forma no-lineal con sus determinantes. En este trabajo se explora la existencia de no-linealidad y se explota la flexibilidad de las redes neuronales artificiales (ANN) para modelarla. Los resultados muestran claras ganancias en los errores de pronóstico de las ANN frente a modelos de naturaleza lineal y evidencia significativa de la existencia de no-linealidades en la dinámica del efectivo.

Suggested Citation

  • Martha A. Misas A. & Enrique López E. & Carlos A. Arango A. & Juan Nicolás Hernández A., 2004. "No-linealidades en la demanda de efectivo en Colombia: las redes neuronales como herramienta de pronóstico," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 22(45), pages 10-57, June.
    • Handle: RePEc:bdr:ensayo:v:22:y:2004:i:45:p:10-57
    DOI: 10.32468/Espe.4501
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    1. Carlos A. Arango A., 2004. "La Demanda De Especies Monetarias En Colombia: Estructura Y Pronóstico," Borradores de Economia 2964, Banco de la Republica.

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    More about this item

    Keywords

    : demanda de efectivo; redes neuronales artificiales; no linealidad; ARIMA; ARIMA con intervención y transferencia; VAR; VEC; pronóstico;
    All these keywords.

    JEL classification:

    • C45 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Neural Networks and Related Topics
    • E41 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Demand for Money
    • E47 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Forecasting and Simulation: Models and Applications
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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