WHEN ARE DEVALUATIONS MORE CONTRACTIONARY? A QUANTILE VAR ESTIMATION FOR ARGENTINA

Gabriel Montes-Rojas () and Nicolás Bertholet ()
Additional contact information
Nicolás Bertholet: Instituto Interdisciplinario de Economía Política de Buenos Aires - UBA - CONICET

No 2022-71, Documentos de trabajo del Instituto Interdisciplinario de Economía Política IIEP (UBA-CONICET) from Universidad de Buenos Aires, Facultad de Ciencias Económicas, Instituto Interdisciplinario de Economía Política IIEP (UBA-CONICET)

Abstract: This paper presents empirical evidence on the short- and medium-run contractionary effects of exchange rate shocks and currency devaluations for bimonetary (i. e., highly dollarized) countries. In particular, for Argentina for the period January 2004-December 2018. Using a VAR representation with quantile heterogeneity, it implements a multivariate model with four macroeconomic variables: exchange rate variations, inflation, economic activity and nominal wage growth. The empirical results show a 30% price pass-through effects and a bimodal effect on output, with both positive and negative effects. Wages adjust less than prices with the consequent effect that real wages have a negative elasticity of 0.23 with respect to exchange rate shocks. Further analysis on the multivariate responses show that the negative effect on output is associated with a decline in real wages: a 1% fall in real wages after a currency devaluation produces a 2.3% decline in output.

Keywords: Impulse-response functions; Vector autoregressive models; Multivariate quantiles; Exchange rate; Pass-through Recession (search for similar items in EconPapers)
JEL-codes: C13 C14 C22 (search for similar items in EconPapers)
Pages: 20 pages
Date: 2022-06
New Economics Papers: this item is included in nep-cba, nep-mon and nep-opm
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://iiep-baires.econ.uba.ar/uploads/publicaciones/545/archivos/1.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 500 Can't connect to iiep-baires.econ.uba.ar:443 (No such host is known. )

Related works:
Chapter: When are devaluations more contractionary? A quantile VAR estimation for Argentina (2023)
Working Paper: When are devaluations more contractionary? A Quantile VAR estimation for Argentina (2022)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ake:iiepdt:202271

Access Statistics for this paper

More papers in Documentos de trabajo del Instituto Interdisciplinario de Economía Política IIEP (UBA-CONICET) from Universidad de Buenos Aires, Facultad de Ciencias Económicas, Instituto Interdisciplinario de Economía Política IIEP (UBA-CONICET) Contact information at EDIRC.
Bibliographic data for series maintained by IIEP UBA-CONICET ().