Objective: The aim of this paper is to analyze the development of new forecasting models based on neural networks using the guidelines of the synthesis method, systematic literature review.Method: We used the systematic literature review method employing a manual search of papers published on new neural networks models in the time period 2000 to 2013.Results: Only 19 studies meet all the requirements of the inclusion criteria.Of these, only three proposals considered a neural networks model using a process different to the autoregressive.Conclusion: Although studies relating to the application of neural network models were frequently present, we find that the studies proposing new forecasting models based on neural networks with a theoretical support and a systematic procedure for the construction of model, were scarce in the time period 2000-2013.