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

Author

Listed:
  • L. Arturo Bernal Ponce

    (ITESM, Campus Cd. de México)

  • Francisco Venegas Martínez

    (Instituto Politécnico Nacional)

Abstract

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.

Suggested Citation

  • L. Arturo Bernal Ponce & Francisco Venegas Martínez, 2011. "Impacto de los productos derivados los objetivos de política monetaria: un modelo de equilibrio general," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 26(2), pages 187-216.
  • Handle: RePEc:emx:esteco:v:26:y:2011:i:2:p:187-216
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    File URL: http://estudioseconomicos.colmex.mx/archivo/EstudiosEconomicos2011/187-216.pdf
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    References listed on IDEAS

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    3. Esteban Gómez & Diego Vásquez & Camilo Zea, 2005. "Derivative Markets' Impact on Colombian Monetary Policy," Borradores de Economia 334, Banco de la Republica de Colombia.
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    5. Semmler, Willi & Zhang, Wenlang, 2007. "Asset price volatility and monetary policy rules: A dynamic model and empirical evidence," Economic Modelling, Elsevier, vol. 24(3), pages 411-430, May.
    6. Hunter, William C. & Smith, Stephen D., 2002. "Risk management in the global economy: A review essay," Journal of Banking & Finance, Elsevier, vol. 26(2-3), pages 205-221, March.
    7. Ingo Fender, 2000. "Corporate hedging: the impact of financial derivatives on the broad credit channel of monetary policy," BIS Working Papers 94, Bank for International Settlements.
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    9. Armando Méndez Morales, 2001. "Monetary Implications of Cross-Border Derivatives for Emerging Economies," IMF Working Papers 01/58, International Monetary Fund.
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    12. Christian Upper, 2006. "Derivatives activity and monetary policy," BIS Quarterly Review, Bank for International Settlements, September.
    13. Shang-Jin Wei & Irina Tytell, 2004. "Does Financial Globalization Induce Better Macroeconomic Policies?," IMF Working Papers 04/84, International Monetary Fund.
    14. 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 637-654, May-June.
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    Cited by:

    1. L. Arturo Bernal Ponce & Humberto Valencia Herrera, 2010. "Relación entre inflación y volatilidad de derivados financieros: el caso de México," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, vol. 4(1), pages 18-28.

    More about this item

    Keywords

    dynamic analysis; financial markets; monetary policy; contingent claims pricing;

    JEL classification:

    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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