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

  • 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.

Downloads

Download data is not yet available.

References

Akgiray, V. and G. Booth (1998). “Mixed Diffusion-Jump Process Modelling of Exchange Rate Movement”, The Review of Economics and Statistics, Vol. 70, No. 4. pp. 631-637.

Beine, M. and S. Laurent (2003). “Central Bank Interventions and Jumps in Double Long Memory Models of Daily Exchange Rates”, Journal of Empirical Finance, Vol. 10, No. 5, pp.641-660.

Bleaney, M. and D. Fielding (2002). “Exchange Rate Regimes, Inflation and Output Volatility in Developing Countries”, Journal of Development Economics, Vol. 68, No. 1, pp. 233-245.

Calvo, G. A.. (1986). “Temporary Stabilization: Predetermined Exchange Rates”, Journal of Political Economy, Vol. 94, No. 6, pp. 1319- 1329.

Calvo, G. and C. Reinhart (2000). “Fear of Floating”, NBER working paper, No.7993, Washington, USA.

Cao, M. (2001). “Systematic Jump Risks in a Small Open Economy: Simultaneous Equilibrium Valuation of Options on the Market Portfolio and the Exchange Rate”, Journal of International Money and Finance, Vol. 20, No. 2, pp. 191-218.

Chacko, G. and L. M. Viceira (2003). “Spectral Estimation of Continuous Time Processes”, Journal of Econometrics, Vol. 116, Issue pp. 259- 292.

Edwards, S. (2000). “Exchange rate Regimes, Capital Flows and Crisis Prevention”, Conference presented at the NBER Seminar Economic and Financial Crisis in Emerging Market Economies, Woodstock, October.

Edwards, S. (2002). “The Great Debate after Argentina”, The North American Journal of Economics and Finance, No.13, No. 3, pp. 237-252.

Fischer, S. (2001). “Exchange Rate Regimes. Is the Bipolar View Correct?”, Finance and Development, Vol. 38, No. 2, pp. 18-21.

Ghosh, A. R., A. M. Gulde, J. D. Ostry and H. Wolf (1996). “Does Exchange Rate Matter for Inflation and Growth?”, Economic issues, Vol. 2, pp. 1-13.

Grinols, E. and S. Turnovsky (1993). “Risk, the Financial Market, and Macroeconomic Equilibrium”, Journal of Economic Dynamics and Control, Vol. 17, No. 1-2, pp. 1-36.

Grinols, E. y S. Turnovsky (1994). “Exchange Rate Determination and Asset Prices in a Stochastic Small Open Economy”, Journal of International Economics, Vol. 36, No. 1-2, pp. 75-97.

Hausmann, R., U. Panizza, and E. Stein (2001). “Why Do Countries Float the Way They Float?”, Journal of Development Economics, Vol. 66, No. 2, pp. 387-414.

Jarrow, R. and E. Rosenfeld (1984). “Jump Risks and the Intertemporal Capital Asset Pricing Model”, Journal of Business, Vol. 57, No. 3, pp. 337-351.

Krugman, P. (1999). “The Return of Depression Economics”, Foreing Affairs, Vol. 78, No. 1, pp. 56-74.

Mundell, R. (1963). “Capital Mobility and Stabilization Policy under Fixed and Flexible Exchange Rates”, Canadian Journal of Economic and Political Science, Vol. 29, No. 4, pp. 475-485.

Park, K., C. M. Ahn, and R. Fijihara (1993). “Optimal Hedged Portfolios: the Case of Jump-Diffusion Risks”, Journal of International Money and Finance, Vol. 12, pp.493-510.

Qi, M. and Y. Wu (2003). “Nonlinear Prediction of Exchange Rates with Monetary Fundamentals”, Journal of Empirical Finance, Vol. 10, No. 5, pp.623-640.

Reinhart, C. (2000). “The Mirage of Floating Exchange Rates”, American Economic Review, Vol. 90, No. 2, pp. 65-70,

Turnovsky, S. (2000). “Government Policy in a Stochastic Growth Model with Elastic Labor Supply”, Journal of Public Economic Theory, Vol. 2, No. 4, pp. 389-433.

Venegas-Martínez, F. (2001). “Temporary Stabilization: A Stochastic Analysis”, Journal of Economic Dynamics and Control, Vol. 25, No. 9, pp. 1429-1449.

Venegas-Martínez, F. (2006). “Stochastic Temporary Stabilization: Undiversifiable Devaluation and Income Risks”, Economic Modelling, Vol. 23, No. 1, pp. 157-173.

Published
31-03-2012
How to Cite
Castillo Ramírez, C. E., Pérez Akaki, P., & Venegas-Martínez, F. (2012). EFECTOS DE SALTOS DE VOLATILIDAD EN EL EQUILIBRIO DE UNA ECONOMÍA ESTOCÁSTICA, PEQUEÑA Y ABIERTA: EL CASO MEXICANO 1995-2009. Denarius, (24), 93. Retrieved from https://denarius.izt.uam.mx/index.php/denarius/article/view/109