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Relación entre inflación y volatilidad de derivados financieros: el caso de México

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Listed:
  • L. Arturo Bernal Ponce

    (Tecnológico de Monterrey)

  • Humberto Valencia Herrera

    (Tecnológico de Monterrey)

Abstract

The aim of this paper is to analyze the impact of financial derivatives volatility on Mexican inflation (years 2004 to 2008). To reach this end, a stochastic model of macroeconomic equilibrium has been calibrated. That model obtains the rate of inflation in terms of the tenure of derivatives. We take advantage of the volatility index, released by MEXDER. The main result is that there is an inverse relationship between volatility of the derivatives and inflation in Mexico. Furthermore, we obtained a valuation formula of a contingent claim subscribed on a consumer price index

Suggested Citation

  • L. Arturo Bernal Ponce & Humberto Valencia Herrera, 2010. "Relación entre inflación y volatilidad de derivados financieros: el caso de México," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, vol. 4(1), pages 18-28.
    • Handle: RePEc:ega:rafega:201002
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    File URL: http://alejandria.ccm.itesm.mx/egap/documentos/2010V4A2Bernal-Valencia.pdf
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    References listed on IDEAS

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    More about this item

    Keywords

    mercados financieros y macroeconomía; valuación de derivados;

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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