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

Author

Listed:
  • Francisco Venegas-Martinez

    () (Tecnologico de Monterrey, Campus Ciudad de Mexico)

Abstract

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.

Suggested Citation

  • Francisco Venegas-Martinez, 2006. "Impacto de una Politica Fiscal incierta y del riesgo cambiario en estrategias de estabilizacion de precios," EconoQuantum, Revista de Economia y Negocios, Universidad de Guadalajara, Centro Universitario de Ciencias Economico Administrativas, Departamento de Metodos Cuantitativos y Maestria en Economia., vol. 2(2), pages 3-33, Enero-Jun.
  • Handle: RePEc:qua:journl:v:2:y:2006:i:2:p:3-33
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    References listed on IDEAS

    as
    1. Venegas-Martinez, Francisco, 2006. "Stochastic temporary stabilization: Undiversifiable devaluation and income risks," Economic Modelling, Elsevier, vol. 23(1), pages 157-173, January.
    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. Reinhart, Carmen M. & Vegh, Carlos A., 1995. "Nominal interest rates, consumption booms, and lack of credibility: A quantitative examination," Journal of Development Economics, Elsevier, vol. 46(2), pages 357-378, April.
    4. De Gregorio, Jose & Guidotti, Pablo E & Vegh, Carlos A, 1998. "Inflation Stabilisation and the Consumption of Durable Goods," Economic Journal, Royal Economic Society, vol. 108(446), pages 105-131, January.
    5. Reinhart, Carmen & Vegh, Carlos, 1994. "Inflation stabilization in chronic inflation countries: The empirical evidence," MPRA Paper 13689, 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. Guillermo A. Calvo & Allan Drazen, 1997. "Uncertain Duration of Reform: Dynamic Implications," NBER Working Papers 5925, National Bureau of Economic Research, Inc.
    8. 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.
    9. Calvo, Guillermo A, 1986. "Temporary Stabilization: Predetermined Exchange Rates," Journal of Political Economy, University of Chicago Press, vol. 94(6), pages 1319-1329, December.
    10. Uribe, Martin, 1997. "Exchange-rate-based inflation stabilization: The initial real effects of credible plans," Journal of Monetary Economics, Elsevier, vol. 39(2), pages 197-221, July.
    11. Rodriguez, Carlos Alfredo, 1982. "The Argentine stabilization plan of December 20th," World Development, Elsevier, vol. 10(9), pages 801-811, September.
    12. Helpman, Elhanan & Razin, Assaf, 1987. "Exchange Rate Management: Intertemporal Tradeoffs," American Economic Review, American Economic Association, vol. 77(1), pages 107-123, March.
    13. 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 170-175, May.
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    More about this item

    Keywords

    Estabilizacion inflacionaria; politica fiscal; modelacion estocastica;

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics
    • H31 - Public Economics - - Fiscal Policies and Behavior of Economic Agents - - - Household

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