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Transmission of External and Internal Shocks In Argentina During the Convertibility Period: Some Empirical Findings From VARs

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We use VARs to study the transmission of shocks in Argentina during the currency board regime. We focus on shocks to international commodity prices, U.S. monetary policy, the real effective exchange rate, and the sovereign risk premium on emerging market debt. Of those factors, only the sovereign risk premium affects output significantly, which we believe is really a proxy for beliefs about fiscal solvency. Both the monetary base and money market interest rates react to U.S. monetary policy, but such shocks do not affect Argentine output significantly. Finally, it does not appear that the appreciation of the U.S. dollar affected the economy adversely.

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  • Chris Geirgat, 2004. "Transmission of External and Internal Shocks In Argentina During the Convertibility Period: Some Empirical Findings From VARs," Department of Economics Working Papers 2004-11, Department of Economics, Williams College.
    • Handle: RePEc:wil:wileco:2004-11
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    1. Martin Eichenbaum & Charles L. Evans, 1995. "Some Empirical Evidence on the Effects of Shocks to Monetary Policy on Exchange Rates," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 110(4), pages 975-1009.
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    5. Michael Mussa, 2002. "Argentina and the Fund: From Triumph to Tragedy," Peterson Institute Press: Policy Analyses in International Economics, Peterson Institute for International Economics, number pa67, February.
    6. Augusto de la Torre & Eduardo Levy Yeyati & Sergio L. Schmukler, 2003. "Living and Dying with Hard Pegs: The Rise and Fall of Argentina’s Currency Board," Economía Journal, The Latin American and Caribbean Economic Association - LACEA, vol. 0(Spring 20), pages 43-108, January.
    7. Kim, Soyoung & Roubini, Nouriel, 2000. "Exchange rate anomalies in the industrial countries: A solution with a structural VAR approach," Journal of Monetary Economics, Elsevier, vol. 45(3), pages 561-586, June.
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    More about this item

    Keywords

    International Transmission; Argentina; Currency Board; Monetary Policy.;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics

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