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Análisis estocástico de una economía pequeña y abierta: políticas fiscal y monetaria

Author

Listed:
  • Segura-Rodríguez, Diana Carmen

    (Instituto Politécnico Nacional)

  • Venegas-Martínez, Francisco

    (Instituto Politécnico Nacional)

  • Allier-Campuzano, Héctor

    (Instituto Politécnico Nacional)

Abstract

En esta investigación se desarrolla un modelo macroeconómico estocástico cuya característica principal es que los precios son conducidos por procesos de difusión con saltos. La economía en cuestión es pequeña (tomadora de precios) y abierta (no hay barreras arancelarias al intercambio de bienes con el exterior) y está poblada por consumidores (con vida infinita) que también son productores con preferencias, dotaciones y tecnologías idénticas. Cabe añadir que el modelo propuesto incorpora la exposición de los agentes (consumidores, empresas y gobierno) a los distintos riesgos financieros que afectan día a día su toma de decisiones. En el equilibrio se determinan en forma endógena los procesos estocásticos que conducen a la tasa de inflación, la tasa de acumulación del capital, la tasa impositiva a la riqueza y los rendimientos de los distintos activos disponibles en la economía./ This paper develops a stochastic macroeconomic model whose main feature is that prices are driven by diffusion processes with jumps. The economy in question is small (price taker) and open (no barriers to trade with identical goods) and is populated by infinite-lived consumers who are also producers with identical preferences, endowments and technologies. Moreover the proposed model incorporates the exposure of the agents (consumers, firms and government) to various financial risks that affect their day-to-day decision making. In the equilibrium are endogenously determined the stochastic processes leading the inflation rate, the rate of accumulation of capital, the tax rate on wealth and income from the different assets available in the economy

Suggested Citation

  • Segura-Rodríguez, Diana Carmen & Venegas-Martínez, Francisco & Allier-Campuzano, Héctor, 2014. "Análisis estocástico de una economía pequeña y abierta: políticas fiscal y monetaria," eseconomía, Escuela Superior de Economía, Instituto Politécnico Nacional, vol. 0(41), pages 21-52, segundo s.
    • Handle: RePEc:ipn:esecon:v:ix:y:2014:i:41:p:21-52
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    References listed on IDEAS

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    1. Nielsen, Lars Tyge, 1999. "Pricing and Hedging of Derivative Securities," OUP Catalogue, Oxford University Press, number 9780198776192.
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    More about this item

    Keywords

    modelo macroeconómico estocástico; administración de riesgos; política fiscal y monetaria./ stochastic macroeconomic model; risk management; fiscal and monetary policy.;
    All these keywords.

    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E61 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Policy Objectives; Policy Designs and Consistency; Policy Coordination

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