Does the Currency Board Matter? U.S. News and Argentine Financial Market Reaction
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)
Using a GARCH model, we study the effects of U.S. monetary policy and macroeconomic announcements on Argentine money, stock, and foreign exchange markets over the period January 1998 to July 2007. We show, first, that both types of news have a significant impact on all markets. Second, there are noticeable differences in reaction for different subsamples: Argentine money markets were more dependent on U.S. news under the currency board than after it was abandoned as the floating exchange rate partly absorbs spillover effects from the United States. Finally, we find that U.S.-dollar-denominated assets react less to U.S. news than peso-denominated assets, which suggests that the currency board was not completely credible during its final years.
Keywords: Argentina; Financial Markets; 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)
Pages: 17 pages
New Economics Papers: this item is included in nep-cba, nep-ifn, nep-mac and nep-mon
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Journal Article: Does the currency board matter? US news and Argentine financial market reaction (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:mar:magkse:200823
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