Variación de la tasa de cambio como un proceso estocástico y su efecto sobre el déficit fiscal colombiano
Variation of the exchange rate as a process stochastic and its effect on the Colombian fiscal deficit
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Granger Castaño, C. 2017. Variación de la tasa de cambio como un proceso estocástico y su efecto sobre el déficit fiscal colombiano. ODEON. 12 (nov. 2017), 119–145. DOI:https://doi.org/10.18601/17941113.n12.05.
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El artículo considera un proceso con reversión a la media y saltos para describir la dinámica de la tasa de cambio nominal peso-dólar, que luego es incorporada al desarrollo de un modelo para el cálculo del déficit fiscal colombiano.
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Referencias (VER)
Aase, K. K. (1988). Contingent claims valuation when the security price is a combination of an itô process and random point process. Stochastic Processes and Their Applications, 28, 185-220.
Agnello, L., Furceri, D. y Sousa, R. M. (2013). How best to measure discretionary fiscal policy? Assessing its impact on private spending. Economic Modelling, 34, 15-24.
Akgiray, V. y Booth, G. G. (1988). Mixed Diffusion-Jump Process Modeling of Exchange Rate Movements. The Review of Economics and Statistics, 70(4), 631-637.
Baldacci, E. y Kumar, M. (2010). Fiscal deficits, public debt, and sovereign bond yields. imf Working Papers (Vol. 10).
Ball, C. y Torous, W. (1983). A simplified jump process for common stock returns. Journal of Financial and Quantitative, 18(1), 53-65.
Bates, D. S. (1988). Pricing options under jump-diffusion processes. Rodney L. White Center for Financial Research.
Bouakez, H., Chihi, F. y Normandin, M. (2014). Measuring the effects of fiscal policy. Journal of Economic Dynamics and Control, 47, 123-151. http://doi.org/10.1016/j.jedc.2014.08.004
Bouakez, H. y Eyquem, A. (2014). Government spending, monetary policy, and the real exchange rate. Journal of International Money and Finance, 56, 178-201. http://doi.org/10.1016/j.jimonfin.2014.09.010
Branger, N. y Larsen, L. S. (2013). Robust portfolio choice with uncertainty about jump and diffusion risk. Journal of Banking and Finance, 37(12), 5036-5047. http://doi.org/10.1016/j.jbankfin.2013.08.023
Buiter, W. H. (1983). Measurement of the public sector deficit and its implications for policy evaluation and design. Staff Papers, 30(2), 306-349.
Checherita-Westphal, C. y Rother, P. (2012). The impact of high government debt on economic growth and its channels: An empirical investigation for the euro area. European Economic Review, 56(7), 1392-1405. http://doi.org/10.1016/j.euroecorev.2012.06.007
Duffie, D. (2005). Credit risk modeling with affine processes. Journal of Banking & Finance, 29(11), 2751-2802. http://doi.org/10.1016/j.jbankfin.2005.02.006
Erceg, C. J., Guerrieri, L. y Gust, C. (2005). Expansionary fiscal shocks and the us trade deficit. En International Finance (Vol. 8, pp. 363-397). http://doi.org/10.1111/j.1468-2362.2005.00164.x
Jiang, G. J. (1998). Jump-Diffusion Model of Exchange Rate Dynamics — Estimation via Indirect Inference, Working Paper, University of Groningen, The Netherlands.
Jin, X. y Zhang, K. (2013). Dynamic optimal portfolio choice in a jump-diffusion model with investment constraints. Journal of Banking and Finance, 37(5), 1733-1746. http://doi.org/10.1016/j.jbankfin.2013.01.017
Kim, S. y Roubini, N. (2008). Twin deficit or twin divergence? Fiscal policy, current account, and real exchange rate in the U.S. Journal of International Economics, 74(2), 362-383. http://doi.org/10.1016/j.jinteco.2007.05.012
Mao, X. (1997). Stochastic differential ecuations and applications, Horwood, Chichester.
Moreno, J. (2011). Estimación de parámetros en ecuaciones diferenciales estocásticas aplicadas a finanzas. odeon, 6, 131-144.
Penati, A. (1983). Expansionary fiscal policy and the exchange rate: A review (Politique budgétaire expansionniste et taux de change: une analyse) (Políticas fiscales expansionistas y el tipo de cambio: un examen de la cuestión). Staff Papers (International Monetary Fund), 30(3), 542-569.
Phillips, P. C. B. (1972). The structural estimation of a stochastic differential equatiuon system. Econométrica, 40, pp. 1021-1041.
Rodríguez, A. y Venegas, F. (2010). Efectos del tipo de cambio sobre el déficit público: modelos de simulación Monte Carlo. Contaduría y administración, 232, 11-40.
Tsay, R. (2002). Analysis of Financial Time Series. New Jersey: Wiley.
Uhlenbeck, G. E. y Ornstein, L. S. (1930). On the theory of Brownian motion. Physical Review, 36, pp. 823-841.
Vaciseck, O. (1977). An equilibrium characterization of the Term Structure. Journal of Financial Economics, 5, pp. 177-188.
Zhong, Y., Bao, Q. y Li, S. (2015). fx options pricing in logarithmic mean-reversion jumpdiffusion model with stochastic volatility. Applied Mathematics and Computation, 251, 1-13. http://doi.org/10.1016/j.amc.2014.11.040.
Agnello, L., Furceri, D. y Sousa, R. M. (2013). How best to measure discretionary fiscal policy? Assessing its impact on private spending. Economic Modelling, 34, 15-24.
Akgiray, V. y Booth, G. G. (1988). Mixed Diffusion-Jump Process Modeling of Exchange Rate Movements. The Review of Economics and Statistics, 70(4), 631-637.
Baldacci, E. y Kumar, M. (2010). Fiscal deficits, public debt, and sovereign bond yields. imf Working Papers (Vol. 10).
Ball, C. y Torous, W. (1983). A simplified jump process for common stock returns. Journal of Financial and Quantitative, 18(1), 53-65.
Bates, D. S. (1988). Pricing options under jump-diffusion processes. Rodney L. White Center for Financial Research.
Bouakez, H., Chihi, F. y Normandin, M. (2014). Measuring the effects of fiscal policy. Journal of Economic Dynamics and Control, 47, 123-151. http://doi.org/10.1016/j.jedc.2014.08.004
Bouakez, H. y Eyquem, A. (2014). Government spending, monetary policy, and the real exchange rate. Journal of International Money and Finance, 56, 178-201. http://doi.org/10.1016/j.jimonfin.2014.09.010
Branger, N. y Larsen, L. S. (2013). Robust portfolio choice with uncertainty about jump and diffusion risk. Journal of Banking and Finance, 37(12), 5036-5047. http://doi.org/10.1016/j.jbankfin.2013.08.023
Buiter, W. H. (1983). Measurement of the public sector deficit and its implications for policy evaluation and design. Staff Papers, 30(2), 306-349.
Checherita-Westphal, C. y Rother, P. (2012). The impact of high government debt on economic growth and its channels: An empirical investigation for the euro area. European Economic Review, 56(7), 1392-1405. http://doi.org/10.1016/j.euroecorev.2012.06.007
Duffie, D. (2005). Credit risk modeling with affine processes. Journal of Banking & Finance, 29(11), 2751-2802. http://doi.org/10.1016/j.jbankfin.2005.02.006
Erceg, C. J., Guerrieri, L. y Gust, C. (2005). Expansionary fiscal shocks and the us trade deficit. En International Finance (Vol. 8, pp. 363-397). http://doi.org/10.1111/j.1468-2362.2005.00164.x
Jiang, G. J. (1998). Jump-Diffusion Model of Exchange Rate Dynamics — Estimation via Indirect Inference, Working Paper, University of Groningen, The Netherlands.
Jin, X. y Zhang, K. (2013). Dynamic optimal portfolio choice in a jump-diffusion model with investment constraints. Journal of Banking and Finance, 37(5), 1733-1746. http://doi.org/10.1016/j.jbankfin.2013.01.017
Kim, S. y Roubini, N. (2008). Twin deficit or twin divergence? Fiscal policy, current account, and real exchange rate in the U.S. Journal of International Economics, 74(2), 362-383. http://doi.org/10.1016/j.jinteco.2007.05.012
Mao, X. (1997). Stochastic differential ecuations and applications, Horwood, Chichester.
Moreno, J. (2011). Estimación de parámetros en ecuaciones diferenciales estocásticas aplicadas a finanzas. odeon, 6, 131-144.
Penati, A. (1983). Expansionary fiscal policy and the exchange rate: A review (Politique budgétaire expansionniste et taux de change: une analyse) (Políticas fiscales expansionistas y el tipo de cambio: un examen de la cuestión). Staff Papers (International Monetary Fund), 30(3), 542-569.
Phillips, P. C. B. (1972). The structural estimation of a stochastic differential equatiuon system. Econométrica, 40, pp. 1021-1041.
Rodríguez, A. y Venegas, F. (2010). Efectos del tipo de cambio sobre el déficit público: modelos de simulación Monte Carlo. Contaduría y administración, 232, 11-40.
Tsay, R. (2002). Analysis of Financial Time Series. New Jersey: Wiley.
Uhlenbeck, G. E. y Ornstein, L. S. (1930). On the theory of Brownian motion. Physical Review, 36, pp. 823-841.
Vaciseck, O. (1977). An equilibrium characterization of the Term Structure. Journal of Financial Economics, 5, pp. 177-188.
Zhong, Y., Bao, Q. y Li, S. (2015). fx options pricing in logarithmic mean-reversion jumpdiffusion model with stochastic volatility. Applied Mathematics and Computation, 251, 1-13. http://doi.org/10.1016/j.amc.2014.11.040.
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