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

Author

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  • 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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    References listed on IDEAS

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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.

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    More about this item

    Keywords

    dynamic analysis; financial markets; monetary policy; contingent claims pricing;
    All these keywords.

    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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