Un modelo estocástico de equilibrio general de una economía pequeña y abierta para evaluar el desempeño de la política fiscal y monetaria: el caso mexicano 1990-2015

A Stochastic General Equilibrium Model of a Small, Open Economy to Assess the Performance of Fiscal and Monetary Policies: the Mexican Case 1990-2015

Lesdy Natalie Hernández-Ramos and Francisco Venegas-Martínez

MPRA Paper from University Library of Munich, Germany

Abstract: This paper is aimed at developing a stochastic general equilibrium model of a small and open economy to examine how the volatility generated by risk factors affects the performance of fiscal and monetary policies. The relevant economic and financial variables are modeled with geometric Brownian motions combined with Poisson jumps. The decision-making problems of all agents participating in the economy are solved and the general equilibrium is characterized. Finally, several econometric specifications derived from the theoretical results of the proposed model are used to assess the performance of fiscal and monetary policies in Mexico, in 1990-2015, in an environment of risk and uncertainty. La presente investigación desarrolla un modelo estocástico de equilibrio general de una economía pequeña y abierta útil para examinar cómo la volatilidad generada por diversos factores de riesgo afecta el desempeño de las políticas fiscal y monetaria. Las variables económicas y financieras relevantes son modeladas con movimientos geométricos brownianos combinadas con saltos de Poisson. Los problemas de toma de decisiones de todos los agentes participantes en la economía son resueltos y el equilibro general es caracterizado. Por último, diversas especificaciones econométricas provenientes de los resultados teóricos del modelo propuesto son utilizadas para evaluar el desempeño de las políticas fiscal y monetaria en México, en 1990-2015, en un entorno de riesgo e incertidumbre.

Keywords: Keywords: General equilibrium; decision making under risk and uncertainty; fiscal and monetary policy. Palabras clave: Equilibrio general; toma de decisiones bajo riesgo e incertidumbre; política fiscal y monetaria. (search for similar items in EconPapers)
JEL-codes: E62 (search for similar items in EconPapers)
Date: 2018-06-30
New Economics Papers: this item is included in nep-dge, nep-knm, nep-mac and nep-ore
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