Assessing Spill-Over Effects of U.S. Monetary Policy and Macroeconomic Announcements on Financial Markets in Argentina

Bernd Hayo () and Matthias Neuenkirch ()

No 200823, MAGKS Papers on Economics from Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung)

Abstract: We study the effects of U.S. monetary policy and macroeconomic announcements on Argentine money, stock and foreign exchange markets’ returns and volatility over the period 1998 to 2006 using a GARCH model. Firstly, we show that both types of news have a significant impact on all markets. Secondly, we conclude that the Argentine markets have become less dependent on U.S. news after the abandonment of the currency board. Thirdly, we find that U.S. dollar-denominated assets react less to news which suggests that the currency board was not completely credible. Fourthly, we discover that financial markets react stronger during the financial crisis. Fifthly, in the case of peso-denominated assets, U.S. central bank communication helps to reduce money market volatility during the financial crisis in Argentina.

Keywords: Argentina; Financial Markets; U.S. Monetary Policy; Federal Reserve Bank; Central Bank Communication; Macroeconomic Announcements (search for similar items in EconPapers)
JEL-codes: E52 F33 G14 G15 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-ifn, nep-mac and nep-mon
Date: 2008

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Persistent link: http://EconPapers.repec.org/RePEc:mar:magkse:200823

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