Transmission of External and Internal Shocks In Argentina During the Convertibility Period: Some Empirical Findings From VARs
AbstractWe 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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Bibliographic InfoPaper provided by Department of Economics, Williams College in its series Department of Economics Working Papers with number 2004-11.
Length: 28 pages
Date of creation: Jul 2004
Date of revision:
Find related papers by 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
- 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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