Noticias y tensiones cambiarias en Argentina

Leonardo Caravaggio (caravaggio@gmail.com)

Económica, 2020, vol. 66, 57-81

Abstract: We study the association between the nominal exchange rate and the dissemination of macroeconomic news in Argentina through the estimation of a VARX-GARCH(1,1) model. Our main empirical results show that: 1) The transmission of adverse financial shocks occurs mostly from the United States and operates via the spread of interest rates (EMBI+ for Argentina); 2) The news compiled from local and foreign newspapers do not generate relevant economic effects to explain the dynamics of the nominal exchangerate; and 3) The conditional volatility of shocks associated with the endogenous variables of the VARX model can be formalized through a GARCH(1,1) specification.

Keywords: Nominal Exchange Rates; News; Negative External Financial Shocks Transmission; BEKK models; VAR-GARCH models (search for similar items in EconPapers)
JEL-codes: C32 E20 G15 (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:lap:journl:623

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