IDEAS home Printed from https://ideas.repec.org/a/col/000151/017975.html
   My bibliography  Save this article

Efecto del tipo de cambio sobre el déficit fiscal: un modelo estocástico de reversión a la media con saltos para el caso colombiano

Author

Listed:
  • Clark Granger-Castano
  • Jhon Fredy Moreno-Trujillo
  • Francisco Venegas-Martínez

Abstract

The most used methods to assess the impact of the exchange rate on the fiscal deficit are deterministic and are based on the elasticities of each of the variables affecting the deficit. This provides a very limited idea of the magnitude and direction of future shocks. This research develops a stochastic model useful to evaluate the impact of the exchange rate on the fiscal deficit in an environment of uncertainty. To do this, the dynamics of the exchange rate depreciation is driven by a mean-reverting jump-diffusion process. By using the theoretical proposed model, Monte Carlo simulations of the projections of the deficit of the Central National Government of Colombia (cngc) are carried out. The simulation provides estimates of fiscal targets considering the random effects of the exchange rate. Finally, from the obtained projections, a path of government debt is estimated based on the depreciation of the exchange rate, which is useful for the planning of the cngc expenditure and for the statement of fiscal goals.

Suggested Citation

  • Clark Granger-Castano & Jhon Fredy Moreno-Trujillo & Francisco Venegas-Martínez, 2018. "Efecto del tipo de cambio sobre el déficit fiscal: un modelo estocástico de reversión a la media con saltos para el caso colombiano," Revista de Economía del Rosario, Universidad del Rosario, vol. 21(2), pages 193-218, December.
  • Handle: RePEc:col:000151:017975
    as

    Download full text from publisher

    File URL: https://revistas.urosario.edu.co/index.php/economia/article/view/7194
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    Fiscal deficit; exchange rate; stochastic processes; Monte Carlo simulation;
    All these keywords.

    JEL classification:

    • H62 - Public Economics - - National Budget, Deficit, and Debt - - - Deficit; Surplus
    • O24 - Economic Development, Innovation, Technological Change, and Growth - - Development Planning and Policy - - - Trade Policy; Factor Movement; Foreign Exchange Policy
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:col:000151:017975. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Facultad de Economía (email available below). General contact details of provider: https://edirc.repec.org/data/ferosco.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.