Planes no creíbles de estabilización de precios, riesgo cambiario y opciones reales para posponer consumo: Un aná lisis con volatilidad estocástica

This paper develops, under the framework of a small, open, and monetary economy, a sto chas tic mo del of in fla tion sta bi liza tion ta king as a no mi nal an chor the exchange rate when credibility is imperfect. The agents have expectations driven by two processes: a diffusion-jump process for the devaluation rate where the size of a possible devaluation has an extreme value distribution, and a mean-reverting sto chas tic vo la ti lity pro cess (a con ti nuous ver sion of the garch (1,1) model). This ap pro pria tely mo dels that in fla tion is sub stan tially mo re per sis tent than the de valuation rate; as showed the stylized facts about extreme devaluations registered in Mexico in 1994 and in Argentina in 2001. It is assumed that there is no a derivatives market to hedge against future devaluations, that is, the financial markets are incomplete. Under this framework, interior and corner solutions are examined when a stabilization plan with imperfect credibility is implemented. It is also studied an experiment in which the mean expected inflation takes a grea ter value from some time in the future and stays there forever, taking into account the probability that this monetary policy occurs. The case of a stochastic horizon of sta bi liza tion with the ex po nen tial dis tri bu tion is stu died. Mo reo ver, the real op tion to postpone consumption is valued when a stabilization plan is to be aban-do ned. Also, exogenous shocks on consumption and economic welfare are as ses sed. Finally, the proposed model is used to carry out simulations that reproduce the booms of pri va te con sump tion be fo re the an ti-in fla tio nary plans we re aban do ned in Mexico in 1990-1994 and in Argentine in 2001-2003, when extreme devaluations took place.