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Prediciendo decisiones de agentes económicos: ¿Cómo determina el Banco de la República de Colombia la tasa de interés?

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  • Gustavo Nicolás Páez

Abstract

Este trabajo propone una metodología denominada “algoritmo de menú” para la generación automática de modelos de pronóstico de decisiones en política pública. A partir del algoritmo de Metrópolis-Hastings y un conjunto de posibles variables explicativas, se construye un modelo que elige los factores más influyentes y la forma cómo estos, a través de funciones matemáticas, afectan la decisión. Ilustrando su uso con el problema de la predicción de la tasa de interés que fija el Banco de la República de Colombia, se resalta que el algoritmo, evidenciando la forma funcional por medio del cual se pronostica la decisión, provee un insumo cuantitativo para analizar teorías existente sobre la forma en que la decisión es tomada así como amplia el campo de investigación hacia nuevas variables predictivas.

Suggested Citation

  • Gustavo Nicolás Páez, 2015. "Prediciendo decisiones de agentes económicos: ¿Cómo determina el Banco de la República de Colombia la tasa de interés?," Documentos CEDE 12567, Universidad de los Andes, Facultad de Economía, CEDE.
    • Handle: RePEc:col:000089:012567
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    More about this item

    Keywords

    Selección de modelos; pronósticos; Metrópolis-Hastings; tasas de interés; reglas de Taylor.;
    All these keywords.

    JEL classification:

    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • C54 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Quantitative Policy Modeling
    • C55 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Large Data Sets: Modeling and Analysis
    • E40 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - General
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E47 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Forecasting and Simulation: Models and Applications
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

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