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Impacto de los productos derivados los objetivos de política monetaria: un modelo de equilibrio general

  • L. Arturo Bernal Ponce

    (ITESM, Campus Cd. de México)

  • Francisco Venegas Martínez

    (Instituto Politécnico Nacional)

This paper is aimed in analyzing the impact of the growing use of contingent claims in the objectives of monetary policy. To reach this end, a continuous time, stochastic model of macroeconomic equilibrium of a monetary economy where the agents are exposed to the risk market is developed. In the equilibrium the inflation rate is endogenously determined as a function of the trend and volatility of risky assets such as derivatives. The main results are: 1) the growing use of derivatives has a significant effect on the rate of inflation, and 2) under certain conditions, an increase in the volatility of the derivatives market has a negative effect on inflation.

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File URL: http://codex.colmex.mx:8991/exlibris/aleph/a18_1/apache_media/T9GIKS4AYBLMYG5X5G7EA54EVXJNT2.pdf
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Article provided by El Colegio de México, Centro de Estudios Económicos in its journal Estudios Económicos.

Volume (Year): 26 (2011)
Issue (Month): 2 ()
Pages: 187-216

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Handle: RePEc:emx:esteco:v:26:y:2011:i:2:p:187-216
Contact details of provider: Web page: http://www.colmex.mx/centros/cee/

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