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Does the Currency Board Matter? U.S. News and Argentine Financial Market Reaction

Author

Listed:
  • Bernd Hayo

    (Philipps-University Marburg)

  • Matthias Neuenkirch

    (Philipps-University Marburg)

Abstract

Using a GARCH model, we study the effects of U.S. monetary policy and macroeconomic announcements on Argentine money, stock, and foreign exchange markets over the period January 1998 to July 2007. We show, first, that both types of news have a significant impact on all markets. Second, there are noticeable differences in reaction for different subsamples: Argentine money markets were more dependent on U.S. news under the currency board than after it was abandoned as the floating exchange rate partly absorbs spillover effects from the United States. Finally, we find that U.S.-dollar-denominated assets react less to U.S. news than peso-denominated assets, which suggests that the currency board was not completely credible during its final years.

Suggested Citation

  • Bernd Hayo & Matthias Neuenkirch, 2008. "Does the Currency Board Matter? U.S. News and Argentine Financial Market Reaction," MAGKS Papers on Economics 200823, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    • Handle: RePEc:mar:magkse:200823
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    File URL: https://www.uni-marburg.de/en/fb02/research-groups/economics/macroeconomics/research/magks-joint-discussion-papers-in-economics/papers/2008-papers/23-2008_hayo.pdf
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    Cited by:

    1. Munazza Jabeen & Abdul Rashid, 2022. "Macroeconomic News and Exchange Rates: Exploring the Role of Order Flow," Global Journal of Emerging Market Economies, Emerging Markets Forum, vol. 14(2), pages 222-245, May.
    2. Bernd Hayo & Ali M. Kutan & Matthias Neuenkirch, 2012. "Federal Reserve Communications and Emerging Equity Markets," Southern Economic Journal, John Wiley & Sons, vol. 78(3), pages 1041-1056, January.
    3. Andrea Vaona, 2013. "Countervailing inequality effects of globalization and renewable energy generation in Argentina," Working Papers 12/2013, University of Verona, Department of Economics.
    4. S. Rubun Dey & Christopher J. Neely, 2010. "A survey of announcement effects on foreign exchange returns," Review, Federal Reserve Bank of St. Louis, vol. 92(Sep), pages 417-464.

    More about this item

    Keywords

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    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • F33 - International Economics - - International Finance - - - International Monetary Arrangements and Institutions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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