EFECTOS DE SALTOS DE VOLATILIDAD EN EL EQUILIBRIO DE UNA ECONOMÍA ESTOCÁSTICA, PEQUEÑA Y ABIERTA: EL CASO MEXICANO 1995-2009

Claudia Estrella Castillo Ramírez; Pablo Pérez Akaki; Francisco Venegas-Martínez

Claudia Estrella Castillo Ramírez Departamento de Sistema de la Universidad Autónoma Metropolitana- Unidad Azcapotzalco
Pablo Pérez Akaki Facultad de Estudios Superiores Acatlán de la Universidad Nacional Autónoma de México
Francisco Venegas-Martínez Escuela Superior de Economía del Instituto Politécnico Nacional

Abstract

En este trabajo se desarrolla un modelo de una economía estocástica, pequeña y abierta en donde las variables financieras y económicas relevantes se describen a través de procesos de difusión con saltos. En el equilibrio macroeconómico se determinan el tipo de cambio y la inflación. Asimismo se examina cómo los saltos en la volatilidad afectan dicho equilibrio. Por último, para el caso mexicano, 1995-2009, se lleva a cabo un análisis empírico sobre los efectos de la volatilidad condicional, de procesos de difusión con saltos, en los fundamentales de la economía.

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