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Comparison of the Fundamental and Monetary Models of the Determinants of the Argentine Peso/US Dollar Exchange Rate

Author

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  • Hsing, Yu

    (Department of Management & Business Administration, College of Business, Southeastern Louisiana University, Hammond, LA, USA)

Abstract

Applying the demand and supply model, this paper finds that the ARS/USD exchange rate (units of the Argentine peso per U.S. dollar) is positively affected by the Argentine interest rate, U.S. real GDP, the U.S. Stock price, the Argentine inflation rate and the expected exchange rate, and it is negatively associated with the U.S. interest rate, Argentine real GDP, the Argentine stock price and the U.S. inflation rate. In the monetary models, the positive sign of the interest rate differential confirms the Frenkel-Bilson model, and the positive sign of the inflation rate differential confirms the Dornbusch-Frankel model. The demand and supply model exhibits a higher value of R-squared and a lower forecast error than monetary models. Confronto tra modelli fondamentali e monetari per la determinazione del tasso di cambio peso argentino/dollaro USA Applicando un modello domanda/offerta questo studio rileva che il tasso di cambio peso argentino/dollaro USA è positivamente influenzato dal tasso di interesse argentino, dal PIL reale USA, dall’andamento della borsa USA, dall’inflazione argentina e dal tasso di cambio atteso, mentre è negativamente associato al tasso di interesse USA, al PIL reale argentino, all’andamento della borsa argentina e all’inflazione USA. Nei modelli monetari, il segno positivo del tasso differenziale di interesse conferma il modello Frenkel-Bilson, mentre il segno positivo del differenziale del tasso di inflazione conferma il modello Dornbusch-Frankel. Il modello domanda/offerta segnala un valore più alto del coefficiente di determinazione e una previsione di errore inferiore rispetto ai modelli monetari.

Suggested Citation

  • Hsing, Yu, 2016. "Comparison of the Fundamental and Monetary Models of the Determinants of the Argentine Peso/US Dollar Exchange Rate," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 69(4), pages 379-388.
    • Handle: RePEc:ris:ecoint:0786
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    More about this item

    Keywords

    Exchange Rates; Interest Rates; Real GDP; Stock Prices; Inflation Rates; EGARCH;
    All these keywords.

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics

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