TY - JOUR
T1 - Efecto del tipo de cambio sobre el déficit fiscal
T2 - Un modelo estocástico de reversión a la media con saltos para el caso Colombiano
AU - Granger-Castaño, Clark
AU - Moreno-Trujillo, Jhon Fredy
AU - Venegas-Martínez, Francisco
N1 - Publisher Copyright:
© Revista de Economía del Rosario. Universidad del Rosario.
PY - 2018/7/1
Y1 - 2018/7/1
N2 - The most used methods to assess the impact of the exchange rate on the fiscal deficit are deterministic and are based on the elasticities of each of the variables affecting the deficit. This provides a very limited idea of the magnitude and direction of future shocks. This research develops a stochastic model useful to evaluate the impact of the exchange rate on the fiscal deficit in an environment of uncertainty. To do this, the dynamics of the exchange rate depreciation is driven by a mean-reverting jump-diffusion process. By using the theoretical proposed model, Monte Carlo simulations of the projections of the deficit of the Central National Government of Colombia (cngc) are carried out. The simulation provides estimates of fiscal targets considering the random effects of the exchange rate. Finally, from the obtained projections, a path of government debt is estimated based on the depreciation of the exchange rate, which is useful for the planning of the cngc expenditure and for the statement of fiscal goals.
AB - The most used methods to assess the impact of the exchange rate on the fiscal deficit are deterministic and are based on the elasticities of each of the variables affecting the deficit. This provides a very limited idea of the magnitude and direction of future shocks. This research develops a stochastic model useful to evaluate the impact of the exchange rate on the fiscal deficit in an environment of uncertainty. To do this, the dynamics of the exchange rate depreciation is driven by a mean-reverting jump-diffusion process. By using the theoretical proposed model, Monte Carlo simulations of the projections of the deficit of the Central National Government of Colombia (cngc) are carried out. The simulation provides estimates of fiscal targets considering the random effects of the exchange rate. Finally, from the obtained projections, a path of government debt is estimated based on the depreciation of the exchange rate, which is useful for the planning of the cngc expenditure and for the statement of fiscal goals.
KW - Exchange rate
KW - Fiscal deficit
KW - Monte Carlo simulation
KW - Stochastic processes
UR - http://www.scopus.com/inward/record.url?scp=85070546050&partnerID=8YFLogxK
U2 - 10.12804/revistas.urosario.edu.co/economia/a.7194
DO - 10.12804/revistas.urosario.edu.co/economia/a.7194
M3 - Artículo
AN - SCOPUS:85070546050
SN - 0123-5362
VL - 21
SP - 193
EP - 218
JO - Revista de Economia del Rosario
JF - Revista de Economia del Rosario
IS - 2
ER -