A stochastic model of endogenous growth: the mexican case, 1930-2002
In this research, we develope a stochastic model of endogenous growth. We assume that the exchange rate is driven by a mixed diffusion-jump process, and the tax rate on wealth is governed by a geometric Brownian motion. We also suppose that contingent claims for hedging against future exchange-rate...
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| Formato: | Artículo científico |
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Universidad Autónoma Metropolitana Unidad Azcapotzalco
2005
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| Acceso en línea: | http://www.redalyc.org/articulo.oa?id=41304304 http://biblioteca.clacso.edu.ar/gsdl/cgi-bin/library.cgi?a=d&c=mx/mx-022&d=41304304oai |
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| Sumario: | In this research, we develope a stochastic model of endogenous growth. We assume that the exchange rate is driven by a mixed diffusion-jump process, and the tax rate on wealth is governed by a geometric Brownian motion. We also suppose that contingent claims for hedging against future exchange-rate depreciation are not available. Finally, we use the proposed model to carry out a Monte Carlo simulation experiment that explains the observed mean growth rate of output for the Mexican case between 1930 and 2002. |
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