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Efectos del tipo de cambio sobre el déficit público: modelos de simulación Monte Carlo

Author

Listed:
  • Rodríguez Nava Abigail

    () (Universidad Autónoma Metropolitana)

  • Francisco Venegas Martínez

    () (Instituto Politécnico Nacional)

Abstract

This paper is aimed at studying the effects of the exchange-rate variations on the budget deficit. To do this, the available deterministic models of budget deficit are extended by assuming that the movements of the exchange rate are driven by stochastic processes, and that the extreme and sudden changes are governed by a Poisson process. The equation that describes the exchange-rate dynamics is building by using an analogy with both the Ornstein-Uhlenbeck and the square root processes. Under the above assumptions and by using Monte Carlo simulations the variations of the peso-dollar exchange rate and the public deficit are estimated for the Mexican economy, between 1990 and 2008. The obtained results are consistent with the empirical evidence found on such a period; this indicates that the suggested methodology can be useful as an ex-ante tool to establish the budget public.

Suggested Citation

  • Rodríguez Nava Abigail & Francisco Venegas Martínez, 2010. "Efectos del tipo de cambio sobre el déficit público: modelos de simulación Monte Carlo," Contaduría y Administración, Accounting and Management, vol. 55(3), pages 11-40, septiembr.
  • Handle: RePEc:nax:conyad:v:55:y:2010:i:3:p:11-40
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    References listed on IDEAS

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    More about this item

    Keywords

    tipo de cambio; déficit público; procesos estocásticos; simulación Monte Carlo;

    JEL classification:

    • E47 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Forecasting and Simulation: Models and Applications
    • E62 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Fiscal Policy
    • E65 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Studies of Particular Policy Episodes

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