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Aproximación no lineal al modelo de overshooting usando redes neuronales multicapa para el tipo de cambio dólar-peso

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  • Jaime Villamil

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    Abstract

    Desde los años setenta muchos trabajos han intentado elaborar una sustentación empírica de algunos modelos que ofrecieron una explicación lineal de la dinámica de la tasa de cambio de un país, entre ellos el de Dornbusch. Hasta el momento ninguno ha sido concluyente y la caminata aleatoria es considerada como el mejor modelo al que puede ajustarse. De Grauwe ha mostrado que, con la presencia de relaciones no-lineales y heterogeneidad de expectativas de los especuladores, el tipo de cambio puede tener un comportamiento aparentemente aleatorio, pero con explicación determinista. Este trabajo presenta el modelo de Dornbusch en la versión no lineal propuesta por De Grauwe y Dewachter (1993), y una aproximación usando redes neuronales multicapa aplicadas al caso del dólar/peso (USD/COP).

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    File URL: http://www.fce.unal.edu.co/media/files/documentos/Cuadernos/50/v28n50_villamil_2009.pdf
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    Bibliographic Info

    Article provided by UN - RCE - CID in its journal REVISTA CUADERNOS DE ECONOMÍA.

    Volume (Year): (2009)
    Issue (Month): ()
    Pages:

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    Handle: RePEc:col:000093:005896

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    Related research

    Keywords: tasa de cambio; redes neuronales; overshooting.;

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    Cited by:
    1. Mauricio Lopera Castaño & Ramón Javier Mesa Callejas & Sergio Iván Restrepo Ochoa & Charle Augusto Londoño Henao, 2013. "Modelando el esquema de intervenciones del tipo de cambio para Colombia. una aplicación empírica de la técnica de regresión del cuantil bajo redes neu," REVISTA CUADERNOS DE ECONOMÍA, UN - RCE - CID.

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