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Impacto del mercado de derivados en la política monetaria: un modelo de volatilidad estocástica
[Impact of the Derivatives Market on Monetary Policy: A Stochastic Volatility Model]

Author

Listed:
  • Silva-Correa, María de los Ángeles
  • Martínez-Marca, José Luís
  • Venegas-Martínez, Francisco

Abstract

This paper examines, through a stochastic volatility model, the relationship between the derivatives market and the inflation rate. It is supposed an economy I which a representative agent allocates his/her wealth in an asset, a derivative, a risk-free bond, and he consumes the rest. The equation of the evolution of real wealth is determined to state the problem of utility maximization that the representative agent faces. In the equilibrium of the economy the inflation rate and the value of the other concerning variables (consumption and real monetary balances) are determined. Subsequently, the Hamilton-Jacobi-Bellman equation (HJB) is solved to determine the optimal decisions of the representative agent. Finally, the impact of the derivatives market on the inflation rate is assessed. / Resumen: En este trabajo se examina, mediante un modelo de volatilidad estocástica, la relación que existe entre el mercado de derivados y la tasa de inflación. Se supone una economía en la que un agente representativo destina su riqueza a la tenencia de un activo, un producto derivado, un bono libre de riesgo, y el resto lo consume. Se determina la ecuación de la evolución de la riqueza real para plantear el problema de maximización de utilidad que enfrenta el agente representativo. En el equilibrio de la economía se determina la tasa de inflación y el valor de las demás variables de interés (consumo y saldos monetarios reales). Posteriormente se resuelve la ecuación Hamilton-Jacobi-Bellman (HJB) para determinar las decisiones óptimas del agente representativo. Por último se evalúa el impacto del mercado de derivados en la tasa de inflación.

Suggested Citation

  • Silva-Correa, María de los Ángeles & Martínez-Marca, José Luís & Venegas-Martínez, Francisco, 2016. "Impacto del mercado de derivados en la política monetaria: un modelo de volatilidad estocástica [Impact of the Derivatives Market on Monetary Policy: A Stochastic Volatility Model]," MPRA Paper 75705, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:75705
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    stochastic volatility; derivatives market; monetary policy; stochastic dynamic optimization.;
    All these keywords.

    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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