Relación entre inflación y volatilidad de derivados financieros: el caso de México

L. Arturo Bernal Ponce () and Humberto Valencia Herrera ()
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L. Arturo Bernal Ponce: Tecnológico de Monterrey
Humberto Valencia Herrera: Tecnológico de Monterrey

Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), 2010, vol. 4, issue 1, 18-28

Abstract: The aim of this paper is to analyze the impact of financial derivatives volatility on Mexican inflation (years 2004 to 2008). To reach this end, a stochastic model of macroeconomic equilibrium has been calibrated. That model obtains the rate of inflation in terms of the tenure of derivatives. We take advantage of the volatility index, released by MEXDER. The main result is that there is an inverse relationship between volatility of the derivatives and inflation in Mexico. Furthermore, we obtained a valuation formula of a contingent claim subscribed on a consumer price index

Keywords: mercados financieros y macroeconomía; valuación de derivados (search for similar items in EconPapers)
JEL-codes: E44 G13 (search for similar items in EconPapers)
Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:ega:rafega:201002

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