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

Author

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  • Jaime Villamil

    ()

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).

Suggested Citation

  • Jaime Villamil, 2009. "Aproximación no lineal al modelo de overshooting usando redes neuronales multicapa para el tipo de cambio dólar-peso," REVISTA CUADERNOS DE ECONOMÍA, UN - RCE - CID, June.
  • Handle: RePEc:col:000093:005896
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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, May.

    More about this item

    Keywords

    tasa de cambio; redes neuronales; overshooting.;

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • C45 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Neural Networks and Related Topics
    • F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications

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