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Relación entre volatilidad de tasas de crecimiento del producto y volatilidad en el precio del stock de capital y su impacto en el nivel de inversión agregada de la economía

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  • José Pablo Dapena

Abstract

La tradicional regla marshalliana de inversión (o abandono) cuando el valor del activo subyacente es mayor (o menor) al costo de la inversión se ve modificada cuando existen situaciones de incertidumbre e irreversibilidad, generando un componente de opción en dichas decisiones. Este componente se ve afectado por la volatilidad del activo subyacente, que a su vez puede encontrar en el agregado su origen en la volatilidad de la tasa de crecimiento de la economía. La evidencia de volatilidad afecta las decisiones de inversión en el agregado, y repercute en el proceso de formación de capital y por ende en las posibilidades de crecimiento a largo plazo. Se explora de manera cuantitativa la relación entre tasas de crecimiento del producto y volatilidad del precio del stock de capital.

Suggested Citation

  • José Pablo Dapena, 2005. "Relación entre volatilidad de tasas de crecimiento del producto y volatilidad en el precio del stock de capital y su impacto en el nivel de inversión agregada de la economía," CEMA Working Papers: Serie Documentos de Trabajo. 294, Universidad del CEMA.
    • Handle: RePEc:cem:doctra:294
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    References listed on IDEAS

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    More about this item

    Keywords

    volatilidad; opciones reales; inversión; mercado de capitales.;
    All these keywords.

    JEL classification:

    • G00 - Financial Economics - - General - - - General
    • G31 - Financial Economics - - Corporate Finance and Governance - - - Capital Budgeting; Fixed Investment and Inventory Studies
    • O16 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - Financial Markets; Saving and Capital Investment; Corporate Finance and Governance

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