Arbeitspapier
Assessing spill-over effects of US monetary policy and macroeconomic announcements on financial markets in Argentina
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.
- Language
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Englisch
- Bibliographic citation
-
Series: MAGKS Joint Discussion Paper Series in Economics ; No. 2008,23
- Classification
-
Wirtschaft
Monetary Policy
International Monetary Arrangements and Institutions
Information and Market Efficiency; Event Studies; Insider Trading
International Financial Markets
- Subject
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Argentina
Financial Markets
U.S. Monetary Policy
Federal Reserve Bank
Central Bank Communication
Macroeconomic Announcements
- Event
-
Geistige Schöpfung
- (who)
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Hayo, Bernd
Neuenkirch, Matthias
- Event
-
Veröffentlichung
- (who)
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Philipps-University Marburg, Faculty of Business Administration and Economics
- (where)
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Marburg
- (when)
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2008
- Handle
- Last update
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10.03.2025, 11:43 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Hayo, Bernd
- Neuenkirch, Matthias
- Philipps-University Marburg, Faculty of Business Administration and Economics
Time of origin
- 2008
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