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Macroeconomic Shocks and Financial Vulnerability

Author

Listed:
  • Jorge Carrera

    (Central Bank of Argentina)

  • Luis N. Lanteri

    (Central Bank of Argentina)

Abstract

The aim of this paper is to identify the relationship between macroeconomic shocks and financial vulnerability in the argentine case for the period 1977-2004, by using VEC models. The results show that falls in the deposit-currency ratio (indicator of crisis or financial vulnerability) would be associated with capital outflows, drops in the terms of trade, contractions in real GDP, depreciations in real exchange rates, and increases in international real interest rates. Economic recessions Granger-cause deposit-currency ratio declines; whereas real GDP would behave like a (weak and strong) exogenous variable.

Suggested Citation

  • Jorge Carrera & Luis N. Lanteri, 2007. "Macroeconomic Shocks and Financial Vulnerability," Ensayos Económicos, Central Bank of Argentina, Economic Research Department, vol. 1(48), pages 13-71, July - Se.
    • Handle: RePEc:bcr:ensayo:v:1:y:2007:i:48:p:13-71
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    File URL: http://www.bcra.gov.ar/pdfs/investigaciones/Shocks%20macroec%20y%20vulnerabilidad.pdf
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    Cited by:

    1. PINSHI, Christian P., 2021. "Exploring the usefulness of Fintech in the dark era of COVID-19," MPRA Paper 107863, University Library of Munich, Germany.
    2. MALATA, Alain K. & PINSHI, Christian P., 2020. "Système financier et COVID-19 : Un examen de l’impact en RDC [Financial system and COVID-19: A review of the impact in the DRC]," MPRA Paper 107772, University Library of Munich, Germany.

    More about this item

    Keywords

    Argentina; causality; crisis; financial system vulnerability; macroeconomic shocks; VEC models; weak and strong exogeneity;
    All these keywords.

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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