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Planes no creíbles de estabilización de precios, riesgo cambiario y opciones reales para posponer consumo. Un análisis con volatilidad estocástica

Listed author(s):
  • Venegas-Martínez, Francisco

    (Escuela Superior de Economía, Instituto Politécnico Nacional)

This paper develops, under the framework of a small, open, and monetary economy, a stochastic model of inflation stabilization taking as a nominal anchor the exchange rate when credibility is imperfect. The agents have expectations driven by two processes: a diffusion-jump process for the devaluation rate where the size of a possible devaluation has an extreme value distribution, and a mean-reverting stochastic volatility process (a continuous version of the GARCH (1,1) model). This appropriately models that inflation is substantially more persistent than the deval- uation rate; as showed the stylized facts about extreme devaluations registered in Mexico in 1994 and in Argentina in 2001. It is assumed that there is no a derivatives market to hedge against future devaluations, that is, the financial markets are incomplete. Under this framework, interior and corner solutions are examined when a stabilization plan with imperfect credibility is implemented. It is also studied an experiment in which the mean expected inflation takes a greater value from some time in the future and stays there forever, taking into account the probability that this monetary policy occurs. The case of a stochastic horizon of stabilization with the exponential distribution is studied. Moreover, the real option to postpone consumption is valued when a stabilization plan is to be aban- doned. Also, exogenous shocks on consumption and economic welfare are assessed. Finally, the proposed model is used to carry out simulations that reproduce the booms of private consumption before the anti-inflationary plans were abandoned in Mexico in 1990-1994 and in Argentine in 2001-2003, when extreme devaluations took place.// En esta investigación se establece, con el supuesto de una economía monetaria, pequeña y abierta, un modelo estocástico de estabilización inflacionaria, en el que el tipo de cambio actúa como un ancla nominal y la credibilidad es imperfecta. Las expectativas de los agentes son conducidas por dos procesos: i) de difusión con saltos para la tasa de devaluación en la que el tamaño de una posible devaluación tiene una distribución de valores extremos y ii) de volatilidad estocástica con reversión a la media (la versión continua de un modelo GARCH(1,1)). Lo anterior con el fin de modelar adecuadamente una tasa de inflación mucho más persistente que una tasa de devaluación, como lo muestran los hechos estilizados respecto a devaluaciones extremas presentadas en México en 1994 y en Argentina en 2001. Se supone que no existe un mercado de coberturas contra posibles devaluaciones, es decir, los mercados son incompletos. Según este esquema, soluciones internas y de esquina son examinadas cuando un plan de estabilización con credibilidad imperfecta es aplicado. Se estudia también un experimento en el que la tasa media esperada de inflación toma un valor mayor a partir de cierto tiempo en el futuro y permanece allí para siempre, tomando en cuenta las probabilidades de que dicha política monetaria ocurra. Se estudia el caso de un horizonte estocástico de estabilización con distribución exponencial. Asimismo, se evalúa la opción real de posponer consumo cuando se espera que un plan de estabilización sea abandonado. También se estudia los efectos de choques exógenos en el consumo y el bienestar económico. Por último, se utiliza el modelo propuesto para realizar simulaciones que reproducen los auges de consumo privado antes de que los planes antiinflacionarios fueran abandonados en México en 1990-1994 y en Argentina en 2001-2003, cuando se produjeron devaluaciones extremas.

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Article provided by Fondo de Cultura Económica in its journal El Trimestre Económico.

Volume (Year): LXXVII (4) (2010)
Issue (Month): 308 (octubre-diciembre)
Pages: 899-936

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Handle: RePEc:elt:journl:v:77:y:2010:i:308:p:899-936
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