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Does the Currency Board Matter? U.S. News and Argentine Financial Market Reaction
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...
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| Veröffentlicht in: | MAGKS - Joint Discussion Paper Series in Economics (Band 23-2008) |
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| Autoren: | , |
| Format: | Arbeit |
| Sprache: | Englisch |
| Veröffentlicht: |
Philipps-Universität Marburg
2008
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| Schlagworte: | |
| Online Zugang: | PDF-Volltext |
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| Zusammenfassung: | 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. |
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| ISSN: | 1867-3678 |
| DOI: | 10.17192/es2023.0207 |