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Latin America in the global financial cycle: Vulnerability or resilience? An analysis of the Argentine case

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  • Agustín Cucchiaro

    (University of Buenos Aires, Argentina)

Abstract

This work investigates the effects of an increase of the federal funds rate in the United States could generate on Latin American economies, taking as given the existence of a global financial cycle. This cycle is represented by a comovement between different financial variables at the international level. After carrying out an empirical analysis of gross capital flows for different countries, a VAR model is implemented for Argentina in order to compute Impulse-Response functions. The model results indicate that credit and terms of trade respond significantly to VIX impulses. The empirical analysis, together with the model results, show the important extent to which peripheral economies are vulnerable to the global financial cycle.

Suggested Citation

  • Agustín Cucchiaro, 2023. "Latin America in the global financial cycle: Vulnerability or resilience? An analysis of the Argentine case," Ensayos Económicos, Central Bank of Argentina, Economic Research Department, vol. 1(82), pages 128-158, November.
    • Handle: RePEc:bcr:ensayo:v:1:y:2023:i:82:p:128-158
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    References listed on IDEAS

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    More about this item

    Keywords

    contagion effects of monetary policy; financial stability; global financial cycle; VAR models;
    All these keywords.

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • F40 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - General
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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