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Impacto de una Politica Fiscal incierta y del riesgo cambiario en estrategias de estabilizacion de precios

  • Francisco Venegas-Martinez

    ()

    (Tecnologico de Monterrey, Campus Ciudad de Mexico)

En esta investigacion se presenta un modelo estocastico de estabilizacion inflacionaria que utiliza el tipo de cambio como ancla nominal con credibilidad imperfecta. El modelo reconoce explicitamente factores de riesgo tanto en la dinamica del tipo de cambio como en el comportamiento esperado de la politica fiscal. Se supone que el tipo de cambio es conducido por un proceso mixto de difusion con saltos. Asimismo, se supone que la tasa impositiva sobre la riqueza sigue un movimiento geometrico Browniai: Bajo este esquema, se supone que no existe un mercado de productos derivados para cubrirse contra movimientos adversos en el tipo de cambio. Tambien, se examinan, en el equilibrio, las decisiones de consumo y portafolio cuando se implementa un plan de estabilizacion y, al mismo tiempo, la politica fiscal es incierta. Ademas, se evaluan los efectos de choques exogenos tanto en las expectativas de devaluacion del tipo de cambio como en la politica fiscal. De la misma manera, se estudian los efectos de tales choques exogenos sobre el bienestar economico. Por ultimo, se utiliza el modelo propuesto para llevar a cabo una simulacion Monte Carlo que explica el comportamiento del consumo en espera de que un plan de estabilizacion se abandone y la politica fiscal es incierta para el caso Mexicano durante el periodo 1989-1994.

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Article provided by Universidad de Guadalajara, Centro Universitario de Ciencias Economico Administrativas, Departamento de Metodos Cuantitativos y Maestria en Economia. in its journal EconoQuantum, Revista de Economia y Negocios.

Volume (Year): 2 (2006)
Issue (Month): 2 (Enero-Junio)
Pages: 3-33

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Handle: RePEc:qua:journl:v:2:y:2006:i:2:p:3-33
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  1. Elhanan Helpman & Assaf Razin & Efraim Sadka (ed.), 1988. "Economic Effects of the Government Budget," MIT Press Books, The MIT Press, edition 1, volume 1, number 026258090x.
  2. Lahiri, Amartya, 2001. "Exchange rate based stabilizations under real frictions: The role of endogenous labor supply," Journal of Economic Dynamics and Control, Elsevier, vol. 25(8), pages 1157-1177, August.
  3. Martin Uribe, 1995. "Exchange-rate based inflation stabilization: the initial real effects of credible plans," International Finance Discussion Papers 503, Board of Governors of the Federal Reserve System (U.S.).
  4. Rodriguez, Carlos Alfredo, 1982. "The Argentine stabilization plan of December 20th," World Development, Elsevier, vol. 10(9), pages 801-811, September.
  5. Reinhart, Carmen & Vegh, Carlos, 1995. "Nominal interest rates, consumption booms, and lack of credibility: A quantitative examination," MPRA Paper 13898, University Library of Munich, Germany.
  6. Calvo, Guillermo A. & Mendoza, Enrique G., 1996. "Mexico's balance-of-payments crisis: a chronicle of a death foretold," Journal of International Economics, Elsevier, vol. 41(3-4), pages 235-264, November.
  7. Calvo, Guillermo A. & Vegh, Carlos A., 1994. "Stabilization dynamics and backward-looking contracts," Journal of Development Economics, Elsevier, vol. 43(1), pages 59-84, February.
  8. Venegas-Martinez, Francisco, 2001. "Temporary stabilization: A stochastic analysis," Journal of Economic Dynamics and Control, Elsevier, vol. 25(9), pages 1429-1449, September.
  9. José De Gregorio & Pablo E. Guidotti & Carlos A. Végh, 1998. "Inflation Stabilization and the Consumption of Durable Goods," Documentos de Trabajo 26, Centro de Economía Aplicada, Universidad de Chile.
  10. Francisco Venegas-Martínez, 2005. "Bayesian Inference, Prior Information On Volatility, And Option Pricing: A Maximum Entropy Approach," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 8(01), pages 1-12.
  11. Guillermo A. Calvo & Allan Drazen, 1997. "Uncertain Duration of Reform: Dynamic Implications," NBER Working Papers 5925, National Bureau of Economic Research, Inc.
  12. Calvo, Guillermo A & Mendoza, Enrique G, 1996. "Petty Crime and Cruel Punishment: Lessons from the Mexican Debacle," American Economic Review, American Economic Association, vol. 86(2), pages 170-75, May.
  13. Calvo, Guillermo A, 1986. "Temporary Stabilization: Predetermined Exchange Rates," Journal of Political Economy, University of Chicago Press, vol. 94(6), pages 1319-29, December.
  14. Venegas-Martinez, Francisco, 2006. "Stochastic temporary stabilization: Undiversifiable devaluation and income risks," Economic Modelling, Elsevier, vol. 23(1), pages 157-173, January.
  15. Reinhart, Carmen & Vegh, Carlos, 1994. "Intertemporal consumption substitution and inflation stabilization:An empirical investigation," MPRA Paper 13427, University Library of Munich, Germany.
  16. Helpman, Elhanan & Razin, Assaf, 1987. "Exchange Rate Management: Intertemporal Tradeoffs," American Economic Review, American Economic Association, vol. 77(1), pages 107-23, March.
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