Macroeconomic Shocks and Financial Vulnerability
AbstractThe 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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Bibliographic InfoPaper provided by Central Bank of Argentina, Economic Research Department in its series BCRA Working Paper Series with number 200717.
Length: 43 pages
Date of creation: Jan 2007
Date of revision:
Argentina; causality; crisis; financial system; financial vulnerability; macroeconomic shocks; VEC models; weak and strong exogeneity;
Other versions of this item:
- 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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