POLÍTICAS DE ESTABILIZACIÓN TEMPORAL ESTOCÁSTICA BAJO RIESGO NO DIVERSIFI-CABLE DEL TIPO DE CAMBIO Y DE LA TASA DE INTERÉS EN MÉXICO (JUNIO DE 1995 A DICIEMBRE DE 2009)

Abstract

The issue of stabilization policies has been widely studied; however, temporary stabilization policies stochastic have been discussed little by the complexity of the models, even and when they are essential to stabilize a small open economy. The authorities resort to temporary stabilization policies stochastic in environments mainly of non-diversifiable risk of the exchange rate and interest rates, a situation that was observed recently in the crisis of 2008, which is essential to expand the stabilization policy framework and to consider the stochastic behavior of the aforementioned variables and their effects on economic activity to reduce or eliminate their shocks. An adequate temporary stabilization policy stochastic provides the necessary conditions to stabilize economic activity and creates the conditions for the market to function efficiently. Therefore, we create three theoretical models (a stochastic monetary, a banking and a stochastic general equilibrium model that combines the approach stochastic monetary and banking) of a small open economy such as Mexico, also we estimated a model empirical, to obtain temporary stabilization policies stochastic under shocks of economic variables in Mexico. The hypothesis of this research is based on economic theory and empirical regularities, which suggest that: improving the macroeconomic framework of stochastic models if we study a complete theoretical approach (monetary and banking), to jointly analyze the rate of interest and exchange rate under conditions of risk, in order to obtain better temporal stabilization policies. The results provide information that generates a performance macroeconomic and financial in favor of economic growth and the price stability. Although in the short term there is a tradeoff between price stability and economic growth, if the authorities will use joint policy measures, which are discussed in this thesis, could be generated the right conditions for economic growth. This thesis begins with an introduction and is the next chapter: In the first chapter we review the literature on the subject to show the need for a stochastic environment in the study of the issue, since this section raises the theoretical framework (monetary and banking) to show the need for a monetary-banking stochastic that better temporary stabilization policies stochastic for Mexico. Throughout the second chapter we pose and solve the theoretical models that we are proposed, those include the assumptions of the monetary approach, rational expectations and banking economy. We use stochastic calculus in order to model the stochastic behavior of the exchange rate and the interest rate, because the benefit of this research is to obtain better temporary stabilization policies stochastic. The third chapter presents a review of the monetary transmission channels and the empirical regularities of the Mexican economy, to show the need to incorporate temporary stabilization policies stochastic. After analyzing the empirical regularities on the subject, in the fourth chapter presents the results of the econometric model and scenarios of temporary stabilization policies stochastic for the conditions of the Mexican economy. Finally, we give conclusions of this investigation to provide policies that ensure higher economic growth.