This paper is aimed to provide a consistent theoretical framework for the decision making process of a consumer-investor in an environment of risk and uncertainty with constant volatility. In this research, the Wiener and Poisson processes play an essential role in modeling market risk and...

The relationships among the Mexico EMBI+ and local and foreign risk factors are examined in this paper. The long run relationships and the dynamics are analyzed taking in account the effects of economic slowdowns into the period of the study. Also the volatilities of EMBI+, domestic interest...

This paper investigates the existence of long memory in the volatility of the Mexican stock market. We use a stochastic volatility (SV) model to derive statistical test for changes in volatility. In this case, estimation is carried out through the Kalman filter (KF) and the improved...

This paper develops a stochastic model of temporary stabilization of prices with the exchange rate acting as a nominal anchor of inflation. The model presents imperfect credibility, and explicitly recognizes the uncertainty in the dynamics of the exchange rate and in the expected behaviour of...

This paper determines the tax rate, withheld by the clearing member, on gains from listed futures that guarantees the same tax revenue as that of the current tax treatment of non-corporate individual investors residents in Mexico. The proposed tax policy reduces costs and improves market...

We examine the impact of fiscal policy in the management of water resources by using a computable general equilibrium model. Several comparative static exercises are carried out to assess the effects of a particular fiscal policy on economic welfare. Finally, we state a set of fiscal policy...

Specialized literature states that a deregulated financial system has positive effects on long-term economic growth. The Mexican financial system has gone through two major phases: regulation until 1988 and soon after liberalization. In this framework, by using cointegration and causality tests...

This paper develops an optimization model that describes the decision process of a representative commercial bank in an uncertain environment. In the proposed model the magnitude of deposits and bank loans are driven by diffusion stochastic processes. Moreover, the model considers instant...