IDEAS home Printed from https://ideas.repec.org/a/lap/journl/623.html
   My bibliography  Save this article

Noticias y tensiones cambiarias en Argentina

Author

Listed:
  • Fernando Toledo, Leonardo Caravaggio

    (Facultad de Ciencias Económicas, Universidad Nacional de La Plata, Argentina; Facultad de Ciencias Económicas, Universidad Nacional de Buenos Aires, Argentina)

Abstract

We study the association between the nominal exchange rate and the dissemination of macroeconomic news in Argentina through the estimation of a VARX-GARCH(1,1) model. Our main empirical results show that: 1) The transmission of adverse financial shocks occurs mostly from the United States and operates via the spread of interest rates (EMBI+ for Argentina); 2) The news compiled from local and foreign newspapers do not generate relevant economic effects to explain the dynamics of the nominal exchangerate; and 3) The conditional volatility of shocks associated with the endogenous variables of the VARX model can be formalized through a GARCH(1,1) specification.

Suggested Citation

  • Fernando Toledo, Leonardo Caravaggio, 2020. "Noticias y tensiones cambiarias en Argentina," Económica, Departamento de Economía, Facultad de Ciencias Económicas, Universidad Nacional de La Plata, vol. 66, pages 57-81, January-D.
    • Handle: RePEc:lap:journl:623
    as

    Download full text from publisher

    File URL: https://revistas.unlp.edu.ar/Economica/article/view/7586/10122
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    Nominal Exchange Rates; News; Negative External Financial Shocks Transmission; BEKK models; VAR-GARCH models;
    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
    • E20 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - General (includes Measurement and Data)
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:lap:journl:623. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Milagros Cejas (email available below). General contact details of provider: https://edirc.repec.org/data/funlpar.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.