Macroeconomic Shocks and Financial Vulnerability

Jorge Carrera and Luis Lanteri ()

No 200717, BCRA Working Paper Series from Central Bank of Argentina, Economic Research Department

Abstract: The aim of this paper is to identify the relationship between macroeconomic shocks and financial vulnerability in the Argentine case for the period 1977-2004, by using VEC models. The results show that falls in the deposit-currency ratio (indicator of crisis or financial vulnerability) would be associated with capital outflows, drops in the terms of trade, contractions in real GDP, depreciations in real exchange rates, and increases in international real interest rates. Economic recessions Granger-cause deposit-currency ratio declines; whereas real GDP would behave like a (weak and strong) exogenous variable.

Keywords: Argentina; causality; crisis; financial system; financial vulnerability; macroeconomic shocks; VEC models; weak and strong exogeneity (search for similar items in EconPapers)
JEL-codes: E44 G21 (search for similar items in EconPapers)
Pages: 43 pages
Date: 2007-01
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.bcra.gov.ar/pdfs/investigaciones/WP%202007%2017_i.pdf English version (application/pdf)
http://www.bcra.gov.ar/pdfs/investigaciones/WP%202007%2017.pdf versión en Español (application/pdf)

Related works:
Journal Article: Macroeconomic Shocks and Financial Vulnerability (2007)
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:bcr:wpaper:200717

Access Statistics for this paper

More papers in BCRA Working Paper Series from Central Bank of Argentina, Economic Research Department Contact information at EDIRC.
Bibliographic data for series maintained by Federico Grillo ().