A stochastic model of endogenous growth: the mexican case, 1930-2002
In this research, we develope a stochastic model of endogenous growth. We assume thatthe exchange rate is driven by a mixed diffusion-jump process, and the tax rate on wealthis governed by a geometric Brownian motion. We also suppose that contingent claims forhedging against future exchange-rate dep...
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| Tipo de recurso: | artículo |
| Estado: | Versión publicada |
| Fecha de publicación: | 2005 |
| País: | México |
| Institución: | Instituto Tecnológico y de Estudios Superiores de Monterrey |
| Repositorio: | Redalyc-ITESM |
| OAI Identifier: | oai:redalyc.org:41304304 |
| Acceso en línea: | https://www.redalyc.org/articulo.oa?id=41304304 |
| Access Level: | acceso abierto |
| Palabra clave: | Economía y Finanzas Endogenous growth stochastic modelling |
| Sumario: | In this research, we develope a stochastic model of endogenous growth. We assume thatthe exchange rate is driven by a mixed diffusion-jump process, and the tax rate on wealthis governed by a geometric Brownian motion. We also suppose that contingent claims forhedging against future exchange-rate depreciation are not available. Finally, we use theproposed model to carry out a Monte Carlo simulation experiment that explains the observedmean growth rate of output for the Mexican case between 1930 and 2002. |
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