Impacto de los productos derivados los objetivos de política monetaria: un modelo de equilibrio general

L Bernal () and Francisco Venegas Martínez
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Francisco Venegas Martínez: Instituto Politécnico Nacional
Authors registered in the RePEc Author Service: Francisco Venegas-Martínez

Estudios Económicos, 2011, vol. 26, issue 2, 187-216

Abstract: 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.

Keywords: dynamic analysis; financial markets; monetary policy; contingent claims pricing (search for similar items in EconPapers)
JEL-codes: C61 E44 E52 G13 (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:emx:esteco:v:26:y:2011:i:2:p:187-216

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