A stochastic model of endogenous growth: the mexican case, 1930-2002

Autores/as

  • Francisco Venegas Martínez Instituto Tecnológicos y de Estudios Superiores de Monterrey

Palabras clave:

Endogenous growth, stochastic modelling

Resumen

In this research, we develope a stochastic model of endogenous growth. We assume that the exchange rate is driven by a mixed diffusion-jump process, and the tax rate on wealth is governed by a geometric Brownian motion. We also suppose that contingent claims for hedging against future exchange-rate depreciation are not available. Finally, we use the proposed model to carry out a Monte Carlo simulation experiment that explains the observed mean growth rate of output for the Mexican case between 1930 and 2002.

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Citas

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Ripley, B. D. (1987). Stochastic Simulation. New York: Wiley.

Venegas-Martínez, F. (2005). “Bayesian Inference, prior information on volatility, and option Pricing: a maximum entropy approach” in International Journal of Theoretical and Applied Finance, vol. 8, núm. 1, forthcoming.

__________ (2004). “Reforma fiscal incierta y sus efectos en las decisiones de consumo y portafolio: impacto en el bienestar económico” en Problemas del Desarrollo,Revista Latinoamericana de Economía, IIEC-UNAM, vol. 35, núm. 136, pp. 137-150.

__________ (2004b). “Política fiscal, estabilización de precios y mercados incompletos” en Estudios Económicos, Centro de Estudios Económicos, COLMEX, vol. 20, núm.1, forthcoming.

__________ (2001). “Temporary stabilization: a stochastic analysis” in Journal of Economic Dynamics and Control, 25, 1429-1449.

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Publicado

2024-01-22

Cómo citar

Venegas Martínez, F. (2024). A stochastic model of endogenous growth: the mexican case, 1930-2002. Análisis Económico, 20(43), 83–100. Recuperado a partir de https://analisiseconomico.azc.uam.mx/index.php/rae/article/view/1097