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Efectos del tipo de cambio en las decisiones de consumo y portafolio. Un enfoque monetarista estocástico

Author

Listed:
  • Isela Elizabeth Téllez León

    (Escuela Superior de Economía, IPN)

  • Francisco Venegas-Martínez

    (Escuela Superior de Economía, IPN)

Abstract

La crisis mundial 2007-2009 ha puesto en evidencia la vulnerabilidad de los modelos deterministas. Por ello, dichos modelos deberán reevaluarse a la luz de los acontecimientos recientes y considerar ambientes estocásticos que incorporen la forma de introducir el riesgo en los mercados financieros, particularmente en el mercado cambiario. En el presente artículo se desarrolla un modelo estocástico para una economía monetaria, pequeña y abierta, en donde el movimiento geométrico browniano es utilizado para modelar el comportamiento del tipo de cambio y el proceso de Poisson es aplicado para especificar la probabilidad de un salto repentino en la tasa de depreciación.

Suggested Citation

  • Isela Elizabeth Téllez León & Francisco Venegas-Martínez, 2011. "Efectos del tipo de cambio en las decisiones de consumo y portafolio. Un enfoque monetarista estocástico," Economia y Sociedad., Universidad Michoacana de San Nicolas de Hidalgo, Facultad de Economia, issue 27, pages 29-48, Enero-jun.
    • Handle: RePEc:qui:ecosoc:y:2011:i:27:p:29-48
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    More about this item

    Keywords

    Economía monetaria; tipo de cambio; decisiones de consumo y portafolio.;
    All these keywords.

    JEL classification:

    • E10 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - General
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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