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Title:Assessing spill-over effects of US monetary policy and macroeconomic announcements on financial markets in Argentina PDF Logo
Authors:Hayo, Bernd
Neuenkirch, Matthias
Issue Date:2008
Series/Report no.:Joint discussion paper series in economics 2008,23
Abstract: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.
Subjects:Argentina
Financial Markets
U.S. Monetary Policy
Federal Reserve Bank
Central Bank Communication
Macroeconomic Announcements
JEL:E52
F33
G14
G15
Document Type:Working Paper
Appears in Collections:MAGKS Joint Discussion Paper Series in Economics, Universität Marburg

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