Impacto de los productos derivados los objetivos de política monetaria: un modelo de equilibrio general
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.
Volume (Year): 26 (2011)
Issue (Month): 2 ()
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