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Relación entre volatilidad de tasas de crecimiento del producto y volatilidad en el precio del stock de capital y su impacto en el nivel de inversión agregada de la economía

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  • José Pablo Dapena

Abstract

La tradicional regla marshalliana de inversión (o abandono) cuando el valor del activo subyacente es mayor (o menor) al costo de la inversión se ve modificada cuando existen situaciones de incertidumbre e irreversibilidad, generando un componente de opción en dichas decisiones. Este componente se ve afectado por la volatilidad del activo subyacente, que a su vez puede encontrar en el agregado su origen en la volatilidad de la tasa de crecimiento de la economía. La evidencia de volatilidad afecta las decisiones de inversión en el agregado, y repercute en el proceso de formación de capital y por ende en las posibilidades de crecimiento a largo plazo. Se explora de manera cuantitativa la relación entre tasas de crecimiento del producto y volatilidad del precio del stock de capital.

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Bibliographic Info

Paper provided by Universidad del CEMA in its series CEMA Working Papers: Serie Documentos de Trabajo. with number 294.

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Date of creation: Jun 2005
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Handle: RePEc:cem:doctra:294

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Keywords: volatilidad; opciones reales; inversión; mercado de capitales.;

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  1. Ricardo J. Caballero, 2000. "Macroeconomic Volatility in Latin America: A View and Three Case Studies," NBER Working Papers 7782, National Bureau of Economic Research, Inc.
  2. Caballero, Ricardo J. & Krishnamurthy, Arvind, 2001. "International and domestic collateral constraints in a model of emerging market crises," Journal of Monetary Economics, Elsevier, vol. 48(3), pages 513-548, December.
  3. Ricardo Caballero & Arvind Krishnamurthy, 1999. "Emerging Market Crises: An Asset Markets Perspective," Working papers 99-23, Massachusetts Institute of Technology (MIT), Department of Economics.
  4. Guillermo A. Calvo, 1998. "Capital Flows and Capital-Market Crises: The Simple Economics of Sudden Stops," Journal of Applied Economics, Universidad del CEMA, vol. 0, pages 35-54, November.
  5. Raddatz, Claudio, 2003. "Liquidity needs and vulnerability to financial udnerdevelopment," Policy Research Working Paper Series 3161, The World Bank.
  6. Tobin, James, 1969. "A General Equilibrium Approach to Monetary Theory," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 1(1), pages 15-29, February.
  7. Stiglitz, Joseph E & Weiss, Andrew, 1981. "Credit Rationing in Markets with Imperfect Information," American Economic Review, American Economic Association, vol. 71(3), pages 393-410, June.
  8. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
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