A stochastic model of endogenous growth: the mexican case, 1930-2002
Keywords:
Endogenous growth, stochastic modellingAbstract
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.
Downloads
References
Canton, E. (2001). “Fiscal policy in a stochastic model of endogenous growth” in Economic Modelling, 18, 19-47.
Gokan, Y. (2002). “Alternative government financing and stochastic Endogenous Growth” in Journal of Economic Dynamics and Control, 26, 681-706.
Rebelo, S. (1991). “Long-run policy analysis and long-run growth” in Journal of Political Economy, 99, 500-521.
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.
Downloads
Published
Issue
Section
License
This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.
