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Macroeconomic Shocks and Financial Vulnerability

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  • 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.

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File URL: http://www.bcra.gov.ar/pdfs/investigaciones/Shocks%20macroec%20y%20vulnerabilidad.pdf
File Function: Spanish version (versión en Español)
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Bibliographic Info

Article provided by Central Bank of Argentina, Economic Research Department in its journal Ensayos Económicos.

Volume (Year): 1 (2007)
Issue (Month): 48 (July - September)
Pages: 13-71

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Handle: RePEc:bcr:ensayo:v:1:y:2007:i:48:p:13-71

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Keywords: Argentina; causality; crisis; financial system vulnerability; macroeconomic shocks; VEC models; weak and strong exogeneity;

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References

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  1. Carmen M. Reinhart & Graciela L. Kaminsky, 1999. "The Twin Crises: The Causes of Banking and Balance-of-Payments Problems," American Economic Review, American Economic Association, vol. 89(3), pages 473-500, June.
  2. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-80, November.
  3. Park, Sangkyun, 1991. "Bank failure contagion in historical perspective," Journal of Monetary Economics, Elsevier, vol. 28(2), pages 271-286, October.
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  6. Reinhart, Carmen & Kaminsky, Graciela, 1998. "Financial crises in Asia and Latin America: Then and now," MPRA Paper 13877, University Library of Munich, Germany.
  7. Sangkyun Park, 1991. "Bank failure contagion in historical perspective," Research Paper 9103, Federal Reserve Bank of New York.
  8. Borensztein, Eduardo & Lee, Jong-Wha, 2002. "Financial crisis and credit crunch in Korea: evidence from firm-level data," Journal of Monetary Economics, Elsevier, vol. 49(4), pages 853-875, May.
  9. Jorge Eduardo Carrera & Mariano Feliz & Demian Panigo, 2003. "Testing the Order of Integration with Low Power Tests. An Application to Argentine Macro-variables," Journal of Applied Economics, Universidad del CEMA, vol. 0, pages 221-246, November.
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  12. Pesola, Jarmo, 2001. "The role of macroeconomic shocks in banking crises," Research Discussion Papers 6/2001, Bank of Finland.
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  14. Carrera, Jorge Eduardo, 2004. "Hard peg and monetary unions.Main lessons from the Argentine experience," MPRA Paper 7843, University Library of Munich, Germany, revised 2007.
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  16. Barry Eichengreen & Ricardo Hausmann & Ugo Panizza, 2007. "Currency Mismatches, Debt Intolerance, and the Original Sin: Why They Are Not the Same and Why It Matters," NBER Chapters, in: Capital Controls and Capital Flows in Emerging Economies: Policies, Practices and Consequences, pages 121-170 National Bureau of Economic Research, Inc.
  17. Daniel Heymann - Enrique Kawamura, 2004. "A simple theoretical framework for the analysis of liability dollarization," Econometric Society 2004 Latin American Meetings 120, Econometric Society.
  18. Calvo, Guillermo A, 1996. "Capital Flows and Macroeconomic Management: Tequila Lessons," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 1(3), pages 207-23, July.
  19. Jose Maria Fanelli & Ricardo N. Bebczuk & Juan J. Pradelli, 2002. "Determinants and Consequences of Financial Constraints Facing Firms in Argentina," Research Department Publications 3147, Inter-American Development Bank, Research Department.
  20. Barry Eichengreen & Ricardo Hausmann & Ugo Panizza, 2003. "Currency Mismatches, Debt Intolerance and Original Sin: Why They Are Not the Same and Why it Matters," NBER Working Papers 10036, National Bureau of Economic Research, Inc.
  21. Jonathan David Ostry & Jeromin Zettelmeyer, 2005. "Strengthening IMF Crisis Prevention," IMF Working Papers 05/206, International Monetary Fund.
  22. Reinhart, Carmen & Calvo, Guillermo, 2000. "When Capital Inflows Come to a Sudden Stop: Consequences and Policy Options," MPRA Paper 6982, University Library of Munich, Germany.
  23. Roberto Rigobon, 2002. "Contagion: How to Measure It?," NBER Chapters, in: Preventing Currency Crises in Emerging Markets, pages 269-334 National Bureau of Economic Research, Inc.
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  28. repec:fth:bfdipa:6/2001 is not listed on IDEAS
  29. Hyman P. Minsky, 1992. "The Financial Instability Hypothesis," Economics Working Paper Archive wp_74, Levy Economics Institute.
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