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This research analyzes the impact of investment in Research and Development (R&D) and the number of researchers on the economic growth of some of the economies of the Organization for Economic Cooperation and Development (OECD), for the period 1996-2016. A causality analysis in the sense of Granger is performed and a panel data model is estimated. Data are obtained from the World Bank. There is empirical evidence of bidirectional causality between R&D and GDP per capita, but predominantly R&D Granger-causes GDP. Bidirectional causality is also found between the number of researchers and GDP per capita, but predominantly GDP Granger-causes the number of researchers. While the dynamic panel model of the MGM system in one stage shows that economic growth is positively affected by investment in R&D and the number of researchers. This work differs from others in the following aspects: 1) it considers a sample of 25 OECD countries in the period 1996-2016; 2) there is a greater availability of data, and 3) a dynamic panel data analysis is carried out that allows the use of a greater number of countries, variables and periods. [ABSTRACT FROM AUTHOR]

This paper aimed to develop a useful Machine Learning (ML) model for detecting companies with lasting competitive advantages (companies' moats) according to their financial ratios in order to improve the performance of investment portfolios. First, we computed the financial ratios of companies belonging to the S&P 500. Subsequently, we assessed the stocks' moats according to an evaluation defined between 0 and 5 for each financial ratio. The sum of all the ratios provided a score between 0 and 100 to classify the companies as wide, narrow or null moats. Finally, several ML models were applied for classification to obtain an efficient, faster and less expensive method to select companies with lasting competitive advantages. The main findings are: (1) the model with the highest precision is the Random Forest; and (2) the most important financial ratios for detecting competitive advantages are a long-term debt-to-net income, Depreciation and Amortization (D&A)-to-gross profit, interest expense-to-Earnings Before Interest and Taxes (EBIT), and Earnings Per Share (EPS) trend. This research provides a new combination of ML tools and information that can improve the performance of investment portfolios; to the authors' knowledge, this has not been done before. The algorithm developed in this paper has a limitation in the calculation of the stocks' moats since it does not consider its cost, price-to-earnings ratio (PE), or valuation. Due to this limitation, this algorithm does not represent a strategy for short-term or intraday trading. [ABSTRACT FROM AUTHOR]

This paper aims to simulate portfolio decisions under uncertainty when the diffusion parameters of the risky asset and short rate paid for a bond are both modulated by a time-inhomogeneous Markov chain, with transition probabilities dependent on states, time, and asset prices. To do this, we first found closed-form solutions of the corresponding utility-maximization problem, which solves a rational consumer that makes portfolio and consumption decisions by using the corresponding infinitesimal generator associated with the Markov chain. Subsequently, as an illustration of the theoretical results obtained, several scenarios were simulated for the Mexican case. The expected economic policy was inferred from announced monetary policy decisions regarding the reference rate and possible changes in trend due to the lack of fiscal stimuli. Under this framework, states were defined from the current and expected economic policies, and transition probabilities were expressed in terms of the ratio between the prices of the risky asset and the bond. It should be noted, as far as the authors know, that no analytical solutions are known in the literature for the case of Markov-modulated time-inhomogeneous chains with transition probabilities that, themselves, are stochastic processes. [ABSTRACT FROM AUTHOR]

This paper analyzes the flow of the contents of interleaved buffers with continuously operating machines in a mass production line. Under this framework, the products to be manufactured advance from station to station to receive a physical–chemical transformation that adds value as they progress in the process. The existence of decoupling buffers between operations (between two consecutive workstations) is a common practice in order to alleviate the pressure that is ahead due to the lack of synchronization between consecutive operations, which causes leisure and/or bottlenecks in the system. In this proposal, we analyze the dynamics of a mass manufacturing line with intermediate decoupling buffers. To do that, we use a regenerative stochastic process approach to build a model where the products stored in each buffer are taken all at once by the consecutive machine. In a second approach, we use a homogeneous birth–death process with constant input–output and assume that the products are taken one by one by the consecutive machine. Finally, we use a non-homogeneous birth–death process to analyze the dynamics of a system whose inputs and outputs depend on time. These proposals are accompanied by numerical examples that illustrate its practical utility. [ABSTRACT FROM AUTHOR]

This paper identifies patterns in total and per capita CO2 emissions among 208 countries considering different emission sources, such as cement, flaring, gas, oil, and coal. This research uses linear and non-linear dimensional reduction techniques, combining K-means clustering with principal component analysis (PCA) and t-distributed stochastic neighbor embedding (t-SNE), which allows the identification of distinct emission profiles among nations. This approach allows effective clustering of heterogeneous countries despite the highly dimensional nature of emissions data. The optimal number of clusters is determined using Calinski–Harabasz and Davies–Bouldin scores, of five and six clusters for total and per capita CO2 emissions, respectively. The findings reveal that for total emissions, t-SNE brings together the world's largest economies and emitters, i.e., China, USA, India, and Russia, into a single cluster, while PCA provides clusters with a single country for China, USA, and Russia. Regarding per capita emissions, PCA generates a cluster with only one country, Qatar, due to its significant flaring emissions, as byproduct of the oil industry, and its low population. This study concludes that international collaboration and coherent global policies are crucial for effectively addressing CO2 emissions and developing targeted climate change mitigation strategies. [ABSTRACT FROM AUTHOR]

This paper aims to study the determinants of financial deepening (FD) in Mexico. FD is measured as the fraction of total credit assigned to private sector as a proportion of GDP. The explanatory variables include: enforcing contracts (rule of law) and institutions; bank regulation; bank competition; formal labor; and financial literacy, among others. The data contains information of each State of the Mexican Republic. The model estimation is performed by using ordinary least squares (OLS), robust least square (RLS) with several weights functions (to deal with outliers), and a dynamic panel model (DPM) estimated with the generalized method of moments (GMM). The main findings are that: 1) the rule of law, 2) financial savings, and 3) financial education are the main determinants of financial deepening in Mexico. [ABSTRACT FROM AUTHOR]

The global energy transition process has generated a set of modifications in the generation and consumption of energy. Environmental objectives have gained great relevance for regions, countries and companies. The fishing sector has been identified as having a broad environmental impact, which is why the transition to cleaner energy sources in this sector has been considered. One of the proposed strategies is based on the transition from the diesel engines of the ships to the use of liquefied natural gas (LNG), however, this transition requires guaranteeing the supply of fuel as well as the process of reconversion of units in operation and the impulse of LNG gas engines for new units. This work presents a proposal for the design of an LNG gas supply chain for the fishing industry in the State of Tampico in Mexico that allows evaluating the feasibility of the transition from the use of diesel to natural gas in fishing vessels. The main results show the feasibility of the transition in the fuel supply and economic and environmental benefits for the fishing industry. However, there is a significant challenge in converting units in operation to the use of natural gas due to the lack of public policies that promote and support its use in this sector. [ABSTRACT FROM AUTHOR]

Introduction: This paper examines the relationship between energy use (ENU) and gross capital formation (GCF) with the gross domestic product (GDP) growth rate in 73 countries. Countries are grouped according to the World Bank classification on income: high (30 countries), medium high (21 countries) and medium low (22 countries). Countries with a low income level are excluded due to insufficient data. The reason why the GCF is included is to study how it influences jointly with the ENU in the GDP growth since the GCF considers machinery and capital goods that require energy. Methods: Unit root and cointegration tests of panel data are performed, as well as estimates of fully modified ordinary least squares and dynamic ordinary least squares of data panel. Results: The empirical findings are that GDP growth is explained by ENU and GCF in the short and long run, except for the medium-high income group in which in the short run the ENU is not significant while the GCF is. Also, in all groups, in the long run, the GCF is explained by both GDP growth and ENU. It is highlighted that in all groups, in the short run, there is no causal relationship between ENU and GCF. Surprisingly, economies with high and low income have similar results. Finally, economic growth has an unidirectional relationship toward UEN and BCF, while in the long run there is no relation. In contrast, for non-oil-producing countries, in the short and long term, GDP growth has an bidirectional relationship with GCF. However, in the short run only the ENU is explained by economic growth. Conclusions: The various short and long-term relationships between ENU, GCF and economic growth that were empirically obtained provide substantial elements to energy policy designers of 73 countries. [ABSTRACT FROM AUTHOR]

In this research, we develop an extension of the stochastic routing model with a fixed capacity for the distribution of perishable products with a time window. We use theoretical probability distributions to model the life of transported products and travel times in the network. Our main objective is to maximize the probability of delivering products within the established deadline with a certain level of customer service. Our project is justified from the perspective of reducing the pollution caused by greenhouse gases generated in the process. To optimize the proposed model, we use a Generic Random Search Algorithm. Finally, we apply the idea to a real problem of designing strategies for the optimal management of perishable food distribution routes that involve a time window, the objective being to maximize the probability of meeting the time limit assigned to the route problem by reducing, in this way, the pollution generated by refrigerated transport. [ABSTRACT FROM AUTHOR]

This paper is aimed at developing a stochastic macroeconomic model useful to explain the effects of unexpected jumps in government spending per capita and in demographic variables on per capita economic growth. To do this, it is assumed that the stochastic dynamics of output and population are driven by mixed diffusion- jumps processes modulated by a Markov Chain. The most important results are that extreme sudden jumps in government spending per capita and in the population growth rate impact negatively the rate of per capita output growth. In particular, if there is a sudden sharp jump in the rate of population growth, then capital per capita suddenly decreases impacting negatively per capita output. Finally, the theoretical findings are supplemented with empirical evidence about the Mexican case obtained through a model that takes in account the volatility of the growth rates of the population and the per capita public expense as well as the surprises in the jump intensities of both variables. [ABSTRACT FROM AUTHOR]

Este artículo desarrolla un modelo estocástico que explica el comportamiento de un vendedor ambulante del sector informal en México. En el modelo propuesto, el agente tiene un consumo de subsistencia sujeto a dos restricciones: la primera considera un ingreso incierto y la segunda consiste en su rutina de consumo. A través del modelo propuesto se determinan la proporción óptima del ingreso que el individuo destina al ahorro cuando hay un exceednte y las horas que destinará a su actividad, así como la estrategia óptima de consumo futuro. Asimismo, a través de un modelo VAR, se muestra evidencia empírica, que confirma los resultados de la propuesta utilizando datos de consumo y salario del individuo, así como la población económicamente activa en el sector informal, entre otras variables relevantes entre 2005 y 2011. Para ello se lleva a cabo un análisis de causalidad de Granger, funciones de impulso-respuesta y descomposición de la varianza. [ABSTRACT FROM AUTHOR]

This paper aims to identify the main determinants of the countries that present contagion during the period 2000–2021, based on the determination of the behavior patterns of 18 stock market indices of 15 of the main economies. To do that, first, the B-spline method and Bezier curves are used to smooth observations by minimizing the noise. Subsequently, the Functional Principal Component Analysis (FPCA) methodology is applied. Then, the K-means clustering algorithm is used to determine the main groups using the silhouette method and cross-validation, considering the sum of squares of the distances as the function to minimize. Finally, classification trees and macroeconomic and financial analyses are used to determine the rules of variables that give a direct explanation of the contagion (clustering) between the stock indices. The main empirical results obtained suggest that the most significant macroeconomic variables are the Gross Domestic Product, the Consumer Price Index, and Foreign Direct Investment, while in the financial aspect and the most representative are Domestic Credit and number of companies listed on the stock market. It is worth noticing that government spending does not have a significant effect at any time as a determinant of contagion. Finally, it is important to mention, and surprising, that Mexico's IPC was not clustered in the same group of US stock market indices anytime, despite the strong commercial relationship and the geographical closeness. [ABSTRACT FROM AUTHOR]

This paper proposes a methodology to estimate the parameters of the stochastic volatility model from Heston (1993) through quadratic loss functions, which minimize the error between market prices and theoretical prices. To do this, three classes of loss functions are stated, two of which correspond to prices and the other one to implied volatilities. The proposed methodology is applied to a set of option prices on AMX-L, WALMEX-V, and GMEXICO-B. The results indicate that for call options on AMX-L the generated implied volatilities are consistent with observed data under the criterion of the root of the mean quadratic error, while for call options on WALMEX-V and GMEXICO-B the generated implied volatilities are consistent with observed data under the criterion of the root of the mean quadratic relative error. [ABSTRACT FROM AUTHOR]

This paper examines the dynamics of the social loss function (loss of purchasing power of society) for the Mexican case during the period 2000-2011. To do this, based on the augmented Phillips curve, the inverse relationship between inflation and unemployment is empirically confirmed. Subsequently, in an econometric exercise the unemployment gap, the inflation persistency and the unemployment function are estimated. It is shown that there is empirical evidence that discretionary policies accompanied by a greater aversion to inflation by the public produce better results than fixed-rule policies, as this leads to lower levels of social loss. [ABSTRACT FROM AUTHOR]

This research conducts a review of theoretical and practical developments of Markov processes in the specialized literature, highlighting their recent advances and showing their potential for their technical goodness, in modeling the decision making processes of rational agents adding more realistic dynamics of various economic and financial variables. In particular, the paper highlights several extensions and reformulations of Markov decision processes, stochastic games, stochastic optimal control with diffusion processes, Blackwell optimality for controlled diffusion processes, stochastic optimal control processes with diffusion processes and its combination with Poisson jumps; time series models with Markov chains, and Bayesian networks with Markov chains in conjuntion with Monte Carlo simulation (MCMC). [ABSTRACT FROM AUTHOR]

This paper analyzes several indicators of Mexican commercial banks liquidity and leverage, for the period 2002-2009. The purpose is determinate the relationship with the profitability and the possible patterns in their activities. The results show that the largest banks, according to the size of its assets, are more profitable, but they have more long term leverage and concentrate a significant proportion of their assets in government securities. In contrast, smaller banks have on its assets significant proportions of credit supply, and also have a considerable amount of long term deposits in liabilities. [ABSTRACT FROM AUTHOR]

The aim of this research is to estimate the marginal returns of higher education in Mexico and assess its impact on wages of individuals ending a career or graduate studies. The estimation is carried out through the procedure suggested by Heckman et al (2000 and 2001). The information used for the estimation employs a sample from the National Survey of Income and Expenditure of Households (ENIGH) 2006 that includes only individuals who still live with their parents. The proposed estimation procedure corrects the problems associated with heterogeneity and self-selection of individuals. The main result of this research, supported by empirical evidence, is that both marginal returns of higher education and impact on wages are positive. [ABSTRACT FROM AUTHOR]

This paper develops, under the framework of a small, open, and monetary economy, a stochastic model of inflation stabilization taking as a nominal anchor 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 stochastic volatility process (a continuous version of the GARCH (1,1) model). This appropriately models that inflation is substantially more persistent than the devaluation 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 greater 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 stabilization with the exponential distribution is studied. Moreover, the real option to postpone consumption is valued when a stabilization plan is to be abandoned. Also, exogenous shocks on consumption and economic welfare are assessed. Finally, the proposed model is used to carry out simulations that reproduce the booms of private consumption before the anti-inflationary plans were abandoned in Mexico in 1990-1994 and in Argentine in 2001-2003, when extreme devaluations took place. [ABSTRACT FROM AUTHOR]

In the framework of a monetary economy with labor and debt (public and private), the effects of government as a promoting agent to boost up technological change are studied. Through a model of endogenous growth, the growth rates of all sectors are characterized in the perfect foresight equilibrium. Moreover, the impact on economic welfare of taxes and government spending to impulse technological change is assessed. Finally, in a simulation exercise, the initial optimal level of government spending (which maximizes welfare), in which the government should incur to adequately address technological change, is examined. [ABSTRACT FROM AUTHOR]

This paper extends the traditional franchising valuation method based on discounted cash flows towards the framework of real options, which arises naturally as a dynamic stochastic optimization procedure where the franchisor seeks to maximize his/her utility discounted by its cost of capital subject to his/her owned wealth. This wealth includes debt costs and additional costs associated with royalties, that is to say: a lump sum and sales percentage. The latter is modelated as a variable interest rate bond through a mean-reverting process that is assumed to be stochastic and driven by a geometric Brownian motion correlated with profits. It is also shown that the capital structure irrelevance holds when there is a flat interest rate term structure. Finally, on the basis of real options sensibility, some recommendations on business strategies are stated. [ABSTRACT FROM AUTHOR]

This study develops a model of a small, open economy, with perfect capital mobility, which makes it possible to examine the actions of the government in the fiscal and monetary areas, compatible with optimal plans in the private sector. The proposed model considers a representative individual with perfect foresight. The key result is that fiscal and monetary policies consistent with the optimal plans of consumers and rational firms should not generate distortions. [ABSTRACT FROM AUTHOR]

Today, there are a wide variety of ways to produce goods in a manufacturing company. Among the most common are mass or line production and process production, both of which are antagonists. In an online production system, materials move from station to station, receiving added value on a well-defined layout. In a production line by process, the materials randomly visit a set of machines strategically located in order to receive a treatment, almost always through metalwork machines, according to the final product of which they will be part. In this case, there is not a predefined layout, as the incoming materials are sectioned and each piece forms a continuous flow through different workstations to receive some process. This activity depends on the function of the product and its final destination as a component of a finished product. In this proposal, Markov chain theory is used to model a manufacturing system by process in order to obtain the expected values of the average production per machine, the total expected production in all the facilities, the leisure per machine and the total productive efficiency of the system, among other indicators. In this research, we assume the existence of historical information about the use of the equipment, its failures, the causes of failure and their repair times; in any factory, this information is available in the area of manufacturing engineering and plant engineering. From this information, statistical frequency indicators are constructed to estimate transition probabilities, from which the results presented here are derived. The proposal is complemented with a numerical example of a real case obtained from a refrigerator factory established in Mexico in order to illustrate the results derived from this research. The results obtained show their feasibility when successfully implemented in the company. [ABSTRACT FROM AUTHOR]

El presente trabajo desarrolla un modelo estocástico de estabilización de precios donde el tipo de cambio actúa como un ancla nominal para contener la inflación. Las expectativas de los agentes económicos sobre la evolución de las tasas de devaluación y de interés real son modeladas con procesos de difusión correlacionados. En ausencia de un mercado de cobertura contra el riesgo cambiario, se examina la dinámica de equilibrio del consumo cuando se implementa un programa anti-inflacionario. Asimismo, se evalúan los efectos en el bienestar producidos por cambios repentinos en los parámetros que determinan las expectativas de devaluación. [ABSTRACT FROM AUTHOR]

This paper develops a model of endogenous growth where the government acts as a promoting agent to boost technology in agribusiness. In the framework of a monetary economy, the optimal level of government spending to enhance technology in the agricultural industry is characterized. Moreover the impact of such a spending on economic welfare is assessed. Finally, a number of agro-oriented policies to increase growth in the sector are established. [ABSTRACT FROM AUTHOR]

This study develops an endogenous growth model in which the government intervenes in the generation of technology. In the framework of a monetary economy the optimum amount of government spending is characterized to promote the technological level, and, as a consequence, economic growth. Meanwhile, it analyzes the impact that this spending has on economic welfare. Finally, some recommendations are made for industrial policy, oriented towards increasing the marginal product of capital. [ABSTRACT FROM AUTHOR]

This paper carries out an analysis of the most common structured notes traded in Financial markets. A detailed description of such financial instruments emphasizing their particular characteristics and technical difficulties in the valuation process is provided. Due to the fact that most of the structured notes traded in the mexican financial markets are certificate deposits with granted capital, we supply the basic elements for their valuation, such as floating coupon-bearing bonds and interest-rate contingent claims. Moreover, for most of the studied structured notes, theoretical pricing models are developed. Finally, for illustrative purposes, several numerical examples of notes are fully developed. [ABSTRACT FROM AUTHOR]

In this paper we present a model to immunize a future stream of assets and liabilities against interest-rate risk by means of futures contracts on government bonds. The hedging strategies derived from the model reduce significantly the market risk. The concepts of dollar duration and dollar convexity play an important role in measuring and controlling interest-rate risk. Specifically, the risk of small or moderate parallel shifts in the term structure of interest rate is controlled, there is no control on other risks. The robustness of the derived strategies is assessed in terms of the methodology of value at risk. An application is addressed by the way of illustration. [ABSTRACT FROM AUTHOR]

This paper is aimed at developing a stochastic volatility model that is useful to explain the dynamics of the returns of gold, silver, and platinum during the period 1994–2019. To this end, it is assumed that the precious metal returns are driven by fractional Brownian motions, combined with Poisson processes and modulated by continuous-time homogeneous Markov chains. The calibration is carried out by estimating the Jump Generalized Autoregressive Conditional Heteroscedasticity (Jump-GARCH) and Markov regime-switching models of each precious metal, as well as computing their Hurst exponents. The novelty in this research is the use of non-linear, non-normal, multi-factor, time-varying risk stochastic models, useful for an investors' decision-making process when they intend to include precious metals in their portfolios as safe-haven assets. The main empirical results are as follows: (1) all metals stay in low volatility most of the time and have long memories, which means that past returns have an effect on current and future returns; (2) silver and platinum have the largest jump sizes; (3) silver's negative jumps have the highest intensity; and (4) silver reacts more than gold and platinum, and it is also the most volatile, having the highest probability of intensive jumps. Gold is the least volatile, as its percentage of jumps is the lowest and the intensity of its jumps is lower than that of the other two metals. Finally, a set of recommendations is provided for the decision-making process of an average investor looking to buy and sell precious metals. [ABSTRACT FROM AUTHOR]

In the present paper, we test the use of Markov-Switching (MS) models with time-fixed or Generalized Autoregressive Conditional Heteroskedasticity (GARCH) variances. This, to enhance the performance of a U.S. dollar-based portfolio that invest in the S&P 500 (SP500) stock index, the 3-month U.S. Treasury-bill (T-BILL) or the 1-month volatility index (VIX) futures. For the investment algorithm, we propose the use of two and three-regime, Gaussian and t-Student, MS and MS-GARCH models. This is done to forecast the probability of high volatility episodes in the SP500 and to determine the investment level in each asset. To test the algorithm, we simulated 8 portfolios that invested in these three assets, in a weekly basis from 23 December 2005 to 14 August 2020. Our results suggest that the use of MS and MS-GARCH models and VIX futures leads the simulated portfolio to outperform a buy and hold strategy in the SP500. Also, we found that this result holds only in high and extreme volatility periods. As a recommendation for practitioners, we found that our investment algorithm must be used only by institutional investors, given the impact of stock trading fees. [ABSTRACT FROM AUTHOR]

This research developed a heat map of the Mexican financial system to identify its vulnerabilities. The proposed methodology extends that used by Bank of Mexico (Banxico), and its advantages are: 1) the number of variables is reduced to those originally used by Banxico (from 58 to 23) discarding redundant variables; 2) 22 of the 23 variables are available on public platforms; and 3) the category of "risk appetite" is the item that generates the greatest instability; 4) it generates early warnings of overdue loans and the import index; the latter indicator may have repercussions on Banxico's inflation target. It also discusses how the identified risk factors can be magnified by COVID-19. Finally, the proposed thermal map is novel due to the generation of early warnings, in addition to the fact that such a proposal allows the detection of additional risk elements to those indicated by the Central Bank. [ABSTRACT FROM AUTHOR]

This paper is aimed at assessing the spillover effects of the US Economic Policy Uncertainty (EPU) in macroeconomic variables of major Latin American Countries (LAC): Mexico, Colombia, Brazil, and Chile. To do that, we estimate a set of two-country Structural Vector Autoregressive (SVAR) models for 1997-2019; each model includes the US and one of the LAC. We use the following variables: EPU indexes, exchange rates, consumer price indexes, industrial production (IP), and interest rates (IR) of the US and the studied LAC. The main finding is that positive shocks in the US EPU index lead to currency depreciation for all four LAC; the largest effect is for Mexico. Other statistically significant results are a brief and small positive impact on Colombia's IP and a positive impact on Mexico's IR. The remaining LAC's estimates are statistically insignificant. For this reason, we applied Rossi and Wang's (2019) robust Granger causality tests that considers structural breaks. Finally, the estimates before and after the 2008 financial crisis suggest that LAC became slightly more responsive to US EPU shocks after the crisis. [ABSTRACT FROM AUTHOR]

This work developed a dynamic stochastic general equilibrium model about the consumption and investment decisions of a representative risk averse agent, for a small and closed economy, constrained to the market risk of the assets in the portfolio with a finite time horizon of stochastic length. It is assumed that the agent has access to three assets: a stock, whose interest rate is stochastic, an option subscribed on the stock and a risk-free bond. The prices of the assets are quoted in units of the consumer good, and there are no taxes and no transaction costs for the maintenance of the portfolio. The proposed problem is useful to characterize the premium of an American-style Asian put option with floating strike as the solution of a partial differential equation. [ABSTRACT FROM AUTHOR]

This paper examines, through the concept of mutual information based on Shannon's entropy, the impact of monetary policy on the loss of efficiency in the financial markets due to speculative bubbles. The proposed information measure is useful to quantify the efficiency with which stock markets respond to the implementation of monetary policy. The findings show that an increase in both money supply and credit growth, as well as declining interest rates, lead to strong market inefficiencies during the initial periods of formation of a bubble. Moreover, empirical evidence suggests that when a loose monetary policy (money supply is expanded and is accessible to agents to encourage economic growth) generates inefficiencies, its instruments are not effective to realign the performance of financial markets. [ABSTRACT FROM AUTHOR]

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. [ABSTRACT FROM AUTHOR]

This research assesses the impact of informal employment on the wage earning rate (marginal return) of individuals who have Higher Education (HE) in Mexico in the framework of the health contingency due to COVID-19 in 2020, which forced to the closure of a significant number of formal economic activities. HE returns estimation is carried out using the procedure suggested by Heckman et al., (2001) and extended by Mogstad et al., (2020) incorporating multiple instrumental variables and by Pinamang-Acheampong et al., (2022) treating unobserved heterogeneity using an endogenous switching regression model. The information employed for the estimates uses a sample from the National Household Income and Expenditure Survey (ENIGH, Spanish acronym for Encuesta Nacional de Ingresos y Gastos de los Hogares) 2020. Empirical evidence is found that the informal labor market had a drastic negative impact on the wages of individuals with ES. [ABSTRACT FROM AUTHOR]

The Global Fear Index (GFI) is a measure of fear/panic based on the number of people infected and deaths due to COVID-19. This paper aims to examine the interconnection or interdependencies between the GFI and a set of global indexes related to the financial and economic activities associated with natural resources, raw materials, agribusiness, energy, metals, and mining, such as: the S&P Global Resource Index, the S&P Global Agribusiness Equity Index, the S&P Global Metals and Mining Index, and the S&P Global 1200 Energy Index. To this end, we first apply several common tests: Wald exponential, Wald mean, Nyblom, and Quandt Likelihood Ratio. Subsequently, we apply Granger causality using a DCC-GARCH model. Data for the global indices are daily from 3 February 2020 to 29 October 2021. The empirical results obtained show that the volatility of the GFI Granger causes the volatility of the other global indices, except for the Global Resource Index. Moreover, by considering heteroskedasticity and idiosyncratic shocks, we show that the GFI can be used to predict the co-movement of the time series of all the global indices. Additionally, we quantify the causal interdependencies between the GFI and each of the S&P global indices using Shannon and Rényi transfer entropy flow, which is comparable to Granger causality, to confirm directionality more robustly The main conclusion of this research is that financial and economic activity related to natural resources, raw materials, agribusiness, energy, metals, and mining were affected by the fear/panic caused by COVID-19 cases and deaths. [ABSTRACT FROM AUTHOR]

This paper analyzes several indicators of Mexican commercial banks liquidity and leverage, for the period 2002-2009. The purpose is determinate the relationship with the profitability and the possible patterns in their activities. The results show that the largest banks, according to the size of its assets, are more profitable, but they have more long term leverage and concentrate a significant proportion of their assets in government securities. In contrast, smaller banks have on its assets significant proportions of credit supply, and also have a considerable amount of long term deposits in liabilities. [ABSTRACT FROM AUTHOR]

This paper develops a macroeconometric simulation model for Mexico on a microeconomics basis. This proposal has several distinctive features that makes it different from other models that have been previously elaborated for the Mexican economy. Behavioral relationships are not specified in an ad-hoc manner, but by means of the study of rational behavior of all the economic agents and their interactions with the markets. Through the formulation of intertemporal optimization models, the dynamics of the key macroeconomic variables are determined. Our proposal allows to reproduce stylized facts of the Mexican economy observed between 1995 and 2002. [ABSTRACT FROM AUTHOR]

This paper aims to analyze, by using the concept of mutual information, the existing relationship between the nominal exchange rate and different inflation components. The proposed information measure captures the dependence structure between these two variables, resulting in new empirical findings not explored by previous works. Among these findings are: i) existence of bimodal bivariate distributions useful to explain regime changes, and it) increases in dependence between the variables in low-volatility periods and decreases in dependence in uncertain environments, previously measured as pass-through. Moreover, such distributions allow studying the different transmission speeds for each inflation component. [ABSTRACT FROM AUTHOR]

El presente trabajo emplea el algoritmo ovs (Objetos-Variables-Situaciones), con base en un modelo de reconocimiento de patrones, para examinar la evolución de indicadores crecimiento y desarrollo de la economía de México en el contexto de la OCDE, durante el periodo 1950-1993. Los objetivos de la investigación son: 1) proponer un modelo de clasificación que permita identificar sistemáticamente las tendencias de convergencia o divergencia de los indicadores del nivel de vida o bienestar en los países que forman la OCDE; 2) aportar elementos que coadyuven a explicar el desarrollo económico de México; y 3) proporcionar una descripción de la dinámica de México en la economía mundial en el periodo de estudio. [ABSTRACT FROM AUTHOR]

This paper develops two methodological approaches for calculating the float factor of the stock market index (IPC) of the Mexican stock market (BMV). The first one assumes that the free float factor is approximated by the normalization of the daily market rotation of each title, while the second one uses the relative daily market rotation. In both cases, the float factor is simulated by a variable with mean reversion similar to the one proposed in Cox, Ingersoll and Ross' model (1985). The methodologies we have established here remedy the inability to replicate the IPC because of the elements of confidentiality that the float factor currently has. Moreover, the proposed flotation factor can be updated instantly given the nature of the developed models. The paper shows that the weights of the firms in the ipc, calculated by using the formulated methodologies, are substantially different from those provided by the BMV when applying its flotation factor, which contains discretionary components of information difficult to verify. [ABSTRACT FROM AUTHOR]

Este trabajo caracteriza la prima de una opción americana de compra mediante un sistema de ecuaciones diferenciales parciales provenientes de un problema de control óptimo estocástico que modela la toma de decisiones de consumo e inversión de un consumidor racional en un horizonte de planeación con fecha final estocástica. Para ello se supone que el activo subyacente es conducido por el movimiento geométrico browniano en un mundo neutral al riesgo. La valuación se lleva a cabo en términos de cuánto el consumidor estaría dispuesto a pagar por un contrato de opción de compra del tipo americana. [ABSTRACT FROM AUTHOR]

This paper develops a model for pricing European options on the index of the Mexican Stock Exchange assuming that the volatility of the underlying is driven by a GARCH-M (1,1). process. The proposed model combines the characteristics of structural and statistical models; that is, volatility is assumed to follow a GARCH-M (1,1) process calibrated on hisstorical data, but the equilibrium price of the option is based on nonarbitrage arguments. In this context, the model is capable of reflecting properly the changes of the conditional volatility of the underlying asset. The results of the numerical implementation of the model suggest that this is able to explain some systematic biases associated with the model published by Black and Scholes (1973). [ABSTRACT FROM AUTHOR]

Family networks have increased at an accelerated pace through social networking through social networking services, online platforms, and social media clubs. This paper develops a model of an economy populated by networks of families with similar preferences (the same functional form of the felicity or utility function) but family members differ in their deep parameters (compulsion for consumption and risk tolerance), which, in turn, leads to some kind o heterogeneity among the families. In this context, the problem of felicity (utility) maximization of the average family in the network is solved. The optimal path of consumption is obtained for the average family and graphical comparative static exercises are performed. Finally, the economic welfare of the typical family in a network is calculated and comparative static experiments are carried out. This approach improves the understanding of the consumption decision making of families interacting in social networking services. [ABSTRACT FROM AUTHOR]

Background and objective: The Mexican automotive industry has become one of the strongest in the world, it generates significant contributions to the gross domestic product, and creates direct and indirect jobs, which promotes the entry of foreign direct investment. This article assesses the impact of the automotive industry on the Mexican economy. Methodology: The role of the automotive industry in the economic structure and its impact on investment flows are assessed through social accounting matrices. Under the proposed methodology, the classification of sectors and the impact and employment multipliers are obtained. Subsequently, an investment shock is introduced to analyze its effect on Mexico's main economic indicators. Empirical results: The classification of sectors indicates that the automotive industry is not strongly linked to the national economy. The accounting multipliers show that the sector has a very weak sensitivity to changes in the rest of the accounts. Job multipliers classify it as an industry with a high labor productivity index. Finally, by simulating an investment shock for expansion, it is shown that the connection with the rest of the economy is stronger and generates greater capital flows with the rest of productive activities. Limitations: There is only complete and reliable data for social accounting matrices for 2012 in Mexico updated for the automotive sector. Conclusions: The automotive industry develops in isolation from the rest of the economic activity, however, empirical evidence shows that the impact that this sector has on the rest of the economy in the face of investment flows is stronger, and, in turn, those activities, which are keys within this expansion process, are identified. [ABSTRACT FROM AUTHOR]

This work applies a test that detects dependence between pairs of variables. The kind of dependence is a non-linear one, and the test is known as cross-bicorrelation, which is associated with Brooks and Hinich [1], We study dependence periods between U.S. Standard and Poor's 500 (SP500), used as a benchmark, and six Latin American stock market indexes: Mexico (BMV), Brazil (BOVESPA), Chile (IPSA), Colombia (COLCAP), Peru (IGBVL) and Argentina (MERVAL). We have found windows of nonlinear dependence and comovement between the SP500 and the Latin American stock markets, some of which coincide with periods of crisis, leading to an interpretation of a possible contagion or interdependence. [ABSTRACT FROM AUTHOR]