TY - JOUR
T1 - Using AI in the informal currency market
T2 - evidence from Cuba
AU - Vidal, Pavel
AU - Muñiz Cuza, Carlos Enrique
AU - Calas Torres, Abraham
N1 - Publisher Copyright:
© 2024 The Author(s). Published by Informa UK Limited, trading as Taylor & Francis Group.
PY - 2024
Y1 - 2024
N2 - This article explains the various steps of a novel methodology designed to analyse the informal currency market and calculate a parallel exchange rate (ER). We utilize artificial intelligence algorithms for Natural Language Processing to extract data from social network groups and classified websites. The methodology has been implemented since 2021 amidst Cuba’s complex financial and political landscape. Given that the official exchange rate remains fixed and overvalued, the calculated ER has become vital for assessing the real-time effects of regulatory changes, economic shocks, and policies. We conduct a statistical and econometric analysis using vector autoregressive models and spillover indexes to validate the economic and financial consistency of the informal market’s time series.
AB - This article explains the various steps of a novel methodology designed to analyse the informal currency market and calculate a parallel exchange rate (ER). We utilize artificial intelligence algorithms for Natural Language Processing to extract data from social network groups and classified websites. The methodology has been implemented since 2021 amidst Cuba’s complex financial and political landscape. Given that the official exchange rate remains fixed and overvalued, the calculated ER has become vital for assessing the real-time effects of regulatory changes, economic shocks, and policies. We conduct a statistical and econometric analysis using vector autoregressive models and spillover indexes to validate the economic and financial consistency of the informal market’s time series.
KW - artificial intelligence
KW - Foreign exchange market
KW - natural language processing
KW - parallel exchange rate
UR - http://www.scopus.com/inward/record.url?scp=85208142019&partnerID=8YFLogxK
U2 - 10.1080/00036846.2024.2416091
DO - 10.1080/00036846.2024.2416091
M3 - Article
AN - SCOPUS:85208142019
SN - 0003-6846
JO - Applied Economics
JF - Applied Economics
ER -