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La Demanda de Efectivo en Colombia: Una Caja Nagra a la Luz de las Redes Neuronales

  • Martha Misas A.

    ()

  • Enrique López E.

    ()

  • Carlos A. Arango A.

    ()

  • Juan Nicolás Hernández A.

    ()

En el caso colombiano la tarea de pronosticar el futuro comportamiento del efectivo se ha convertido en un verdadero reto ya que durante la última década la economía ha sufrido importantes trasformaciones que han traído consigo una mayor volatilidad en las variables que lo determinan. En particular, recientemente se ha dado una fuerte reducción en la rentabilidad de activos alternativos al efectivo debido a la reducción en la tasa de inflación y a la introducción del impuesto a las transacciones financieras. Al mismo tiempo, los ciclos de la actividad económica parecen ser más pronunciados. 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 esta posible relación no lineal y se explota la flexibilidad de las redes neuronales artificiales -ANN- para modelarla. Las ganancias en los errores de pronóstico y la significancia estadística de las pruebas de no linealidad frente a modelos de naturaleza lineal auguran un futuro promisorio a estas técnicas que permiten predecir mejor el futuro en un entorno cambiante.

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Paper provided by BANCO DE LA REPÚBLICA in its series BORRADORES DE ECONOMIA with number 002963.

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Length: 43
Date of creation: 31 Dec 2003
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Handle: RePEc:col:000094:002963
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