Keywords
INTERTEMPORAL CONSUMER CHOICE
CONSUMER BEHAVIOR
How to Cite
Abstract
THIS RESEARCH DEVELOPS A STOCHASTIC MODEL OF THE CONSUMER'S DECISION MAKING UNDER AN ENVIRONMENT OF RISK AND UNCERTAINTY. IN THE PROPOSED MODEL AGENTS PERCEIVE THAT A MIXED DIFFUSIONJUMP PROCESS DRIVES THE EXCHANGE RATE DEPRECIATION AND A DIFFUSION PROCESS GOVERNS THE REAL INTEREST RATE, THESE PROCESSES ARE SUPPOSED TO BE CORRELATED. WE GENERALIZE THE PROPOSALS FROM GIULIANO AND TURNOVSKY (2003), GRINOLS AND TURNOVSKY (1993) AND MERTON (1969 AND 1971) BY INCLUDING SUDDEN AND UNEXPECTED JUMPS IN THE STOCHASTIC DYNAMICS OF RELEVANT VARIABLES IN THE INTENDED MODEL. WE EXAMINE PORTFOLIO, CONSUMPTION AND WEALTH EQUILIBRIUM DYNAMICS UNDER THE OPTIMAL DECISIONS. WE ALSO ASSESS THE EFFECTS ON PORTFOLIO, CONSUMPTION AND WELFARE OF SUDDEN AND PERMANENT CHANGES IN THE PARAMETERS DETERMINING THE EXPECTATIONS OF THE EXCHANGE RATE DEPRECIATION.© 2018, Facultad de Contaduría y Administración, Universidad Nacional Autónoma de México. All rights reserved. Publication of the article implies full assignment of property rights (copyright) in Journal of Contaduría y Administración. The publication mreserves the right to total or partial reproduction of the work in other print, electronic or any other alternative means, but always recognizing its responsibility.
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