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Noticias y tensiones cambiariasen Argentina

Author

Listed:
  • Fernando Toledo

    (Facultad de Ciencias Económicas. Universidad Nacional de La Plata, Argentina)

  • Leonardo Caravaggio

    (Facultad de Ciencias Económicas. Universidad Nacional de Buenos Aires, Argentina)

Abstract

Se estudia la relación entre el tipo de cambio nominal y la difusión de noticias macroeconómicas en Argentina mediante la estimación de un modelo VARX-GARCH(1,1). Los principales resultados empíricos indican que: 1) La transmisión de shocks financieros adversos procede fundamentalmente desde Estados Unidos y opera mediante el spread de tasas de interés (EMBI+ para Argentina); 2) Las noticias recopiladas de periódicos locales y extranjeros no ejercen efectos económicos relevantes para explicar la dinámica del tipo de cambio nominal; y 3) La volatilidad condicional de los shocks aleatorios asociados a las variables endógenas del modelo VARX puede formalizarse mediante una estrategia GARCH(1,1).

Suggested Citation

  • Fernando Toledo & Leonardo Caravaggio, 2020. "Noticias y tensiones cambiariasen Argentina," Económica, Instituto de Investigaciones Económicas, Facultad de Ciencias Económicas, Universidad Nacional de La Plata, vol. 66, pages 57-81, January-D.
    • Handle: RePEc:akh:journl:624
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    File URL: https://revistas.unlp.edu.ar/Economica/article/view/7586/10122
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    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

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