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No-Linealidades En La Demanada De Efectivo En Colombia: Las Redes Neuronales Como Herramienta De Pronostico

  • MARTHA ALICIA MISASARANGO

    ()

  • ENRIQUE ANTONIO LOPEZENCISO

    ()

  • CARLOS ARANGO

    ()

  • JUAN NICOLASHERNANDEZ

    ()

Forecasting the demand for cash in Colombia has become a true challenge in the recent past. The last decade witnessed strong changes in the variables that determine the demand for money: Inflation and, hence, interest rates, fall substantially, technological progress was strong in the Colombian Payment System and distorting Tobin-like taxes to financial transactions were imposed. These changes are of special relevance when the demand for money is a non-linear function of its determinants. In this paper we exploit the flexibility of artificial neural networks (ANN) to explore the existence of nonlinearity in the demand for cash. The results show that the ANN models outperform those of linear nature in terms of forecast errors. Furthermore, significant evidence is found of non-linearity in the dynamics of the demand for cash.

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Article provided by BANCO DE LA REPÚBLICA - ESPE in its journal ENSAYOS SOBRE POLÍTICA ECONÓMICA.

Volume (Year): 22 (2004)
Issue (Month): 45 (June)
Pages: 10-57

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Handle: RePEc:col:000107:003277
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  1. Martha Misas Arango & Enrique López Enciso & Pablo Querubín Borrero, 2002. "La inflación en Colombia: una aproximación desde las redes neuronales," Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 20(41-42), pages 143-214, Junio-Dic.
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  6. Friedman, Benjamin M, 1999. "The Future of Monetary Policy: The Central Bank as an Army with Only a Signal Corps?," International Finance, Wiley Blackwell, vol. 2(3), pages 321-38, November.
  7. van Dijk, Dick & Teräsvirta, Timo & Franses, Philip Hans, 2000. "Smooth Transition Autoregressive Models - A Survey of Recent Developments," SSE/EFI Working Paper Series in Economics and Finance 380, Stockholm School of Economics, revised 17 Jan 2001.
  8. Breitung, Jörg, 1998. "Rank tests for nonlinear cointegration," SFB 373 Discussion Papers 1998,65, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  9. Mervyn A. King, 1999. "Challenges for monetary policy : new and old," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, pages 11-57.
  10. Joon Y. Park & Peter C.B. Phillips, 1998. "Nonlinear Regressions with Integrated Time Series," Cowles Foundation Discussion Papers 1190, Cowles Foundation for Research in Economics, Yale University.
  11. Benjamin M. Friedman, 1999. "The Future of Monetary Policy: The Central Bank as an Army With Only a Signal Corps," NBER Working Papers 7420, National Bureau of Economic Research, Inc.
  12. Rech, Gianluigi, 2002. "Forecasting with artificial neural network models," SSE/EFI Working Paper Series in Economics and Finance 491, Stockholm School of Economics.
  13. Barnett, William A & Fisher, Douglas & Serletis, Apostolos, 1992. "Consumer Theory and the Demand for Money," Journal of Economic Literature, American Economic Association, vol. 30(4), pages 2086-2119, December.
  14. Luis E. Arango & Andrés González, 2000. "A Nonlinear Specification of Demand for Cash in Colombia," Money Affairs, Centro de Estudios Monetarios Latinoamericanos, vol. 0(2), pages 207-226, July-Dece.
  15. Charles Goodhart, 2000. "Can Central Banking Survive the IT Revolution?," FMG Special Papers sp125, Financial Markets Group.
  16. Nikola Gradojevic & Jing Yang, 2000. "The Application of Artificial Neural Networks to Exchange Rate Forecasting: The Role of Market Microstructure Variables," Staff Working Papers 00-23, Bank of Canada.
  17. Fair, Ray C & Shiller, Robert J, 1990. "Comparing Information in Forecasts from Econometric Models," American Economic Review, American Economic Association, vol. 80(3), pages 375-89, June.
  18. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
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  20. Buiter, Willem H & Armstrong, Clive A, 1978. "A Didactic Note on the Transactions Demand for Money and Behavior towards Risk: A Note," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 10(4), pages 529-38, November.
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