Impacto de los productos derivados en 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 equ...
| Auteurs principaux: | , |
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| Format: | Online |
| Langue: | espagnol |
| Éditeur: |
El Colegio de México, A.C.
2011
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| Sujets: | |
| Accès en ligne: | https://estudioseconomicos.colmex.mx/index.php/economicos/article/view/100 |
| Institution: |
Estudios Económicos |
| Résumé: | 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. |
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