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Crises & Crashes: Argentina 1885 – 2003

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  • Osvaldo Meloni

    (Universidad Nacional de Tucumán, Argentina)

  • Ana María Cerro

    (Universidad Nacional de Tucumán, Argentina)

Abstract

This paper is aimed at studying the determinants of currency crises suffered by Argentina from 1885 to 2003, on one hand, and at characterizing each particular currency crisis, on the other hand. Firstly, we identify crises episodes throughout the Argentine history. We apply the Eichengreen, Rose and Wyplosz (1994) methodology to sort crises from non-crises periods, and we distinguish among deep crises (crashes), mild crises and minor turbulences. Secondly, we look for regularities and common factors throughout history. We report the two- sample Kolmogorv-Smirnov test of equality of distributions and the Kruskal-Wallis test of equality of population. We complemented it by estimating a logit model including a set of variables chosen from the prescriptions of the existing currency crises theories. Thirdly, following Kaminsky (2003) we perform regression tree analysis to classify crises and crashes into different varieties proposed by the theories at stake. We use fifteen financial and macroeconomic variables suggested by the empirical literature. It is found that fiscal imbalances were always present, which is consistent with the predictions of the first generation speculative attack models. All three methods used to characterize currency crises in Argentina show the importance of the fiscal side. Adverse foreign factors had also a key role in explaining crises. Finally, in most of the crises, regularities in the behavior of macroeconomic variables can be detected.

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Bibliographic Info

Paper provided by EconWPA in its series Economic History with number 0505001.

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Length: 37 pages
Date of creation: 04 May 2005
Date of revision:
Handle: RePEc:wpa:wuwpeh:0505001

Note: Type of Document - pdf; pages: 37
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Web page: http://128.118.178.162

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Keywords: currency crises - Argentina - regression tree analysis -;

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  1. Maurice Obstfeld, 1984. "Rational and Self-Fulfilling Balance-of-Payments Crises," NBER Working Papers 1486, National Bureau of Economic Research, Inc.
  2. Klein, Michael W. & Marion, Nancy P., 1997. "Explaining the duration of exchange-rate pegs," Journal of Development Economics, Elsevier, vol. 54(2), pages 387-404, December.
  3. Barry Eichengreen & Andrew K. Rose & Charles Wyplosz, 1994. "Speculative Attacks on Pegged Exchange Rates: An Empirical Exploration with Special Reference to the European Monetary System," NBER Working Papers 4898, National Bureau of Economic Research, Inc.
  4. Robert P. Flood & Peter M. Garber, 1981. "Gold monetization and gold discipline," International Finance Discussion Papers 190, Board of Governors of the Federal Reserve System (U.S.).
  5. Bordo, Michael D. & Vegh, Carlos A., 2002. "What if Alexander Hamilton had been Argentinean? A comparison of the early monetary experiences of Argentina and the United States," Journal of Monetary Economics, Elsevier, vol. 49(3), pages 459-494, April.
  6. Graciela L. Kaminsky & Carmen M. Reinhart, 1996. "The twin crises: the causes of banking and balance-of-payments problems," International Finance Discussion Papers 544, Board of Governors of the Federal Reserve System (U.S.).
  7. Stephen W. Salant & Dale W. Henderson, 1976. "Market anticipations, government policy, and the price of gold," International Finance Discussion Papers 81, Board of Governors of the Federal Reserve System (U.S.).
  8. Girton, Lance & Roper, Don, 1977. "A Monetary Model of Exchange Market Pressure Applied to the Postwar Canadian Experience," American Economic Review, American Economic Association, vol. 67(4), pages 537-48, September.
  9. Alan M. Taylor, 1997. "Argentina and the World Capital Market: Saving, Investment, and International Capital Mobility in the Twentieth Century," NBER Working Papers 6302, National Bureau of Economic Research, Inc.
  10. Barry Eichengreen & Michael D. Bordo, 2002. "Crises Now and Then: What Lessons from the Last Era of Financial Globalization," NBER Working Papers 8716, National Bureau of Economic Research, Inc.
  11. Rudiger Dornbusch, 1984. "Argentina Since Martinez De Hoz," NBER Working Papers 1466, National Bureau of Economic Research, Inc.
  12. Alan M. Taylor, 1994. "Three Phases of Argentine Economic Growth," NBER Historical Working Papers 0060, National Bureau of Economic Research, Inc.
  13. Robert P. Flood & Jagdeep S. Bhandari & Pierre-Richard Agénor, 1991. "Speculative Attacks and Models of Balance of Payments Crises," IMF Working Papers 91/99, International Monetary Fund.
  14. Krugman, Paul, 1979. "A Model of Balance-of-Payments Crises," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 11(3), pages 311-25, August.
  15. Eichengreen, Barry & Rose, Andrew K & Wyplosz, Charles, 1996. "Contagious Currency Crises," CEPR Discussion Papers 1453, C.E.P.R. Discussion Papers.
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