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http://hdl.handle.net/10419/30121
  

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dc.contributor.authorHayo, Bernden_US
dc.contributor.authorNeuenkirch, Matthiasen_US
dc.date.accessioned2009-08-12en_US
dc.date.accessioned2010-03-05T15:43:28Z-
dc.date.available2010-03-05T15:43:28Z-
dc.date.issued2008en_US
dc.identifier.urihttp://hdl.handle.net/10419/30121-
dc.description.abstractWe 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.en_US
dc.language.isoengen_US
dc.publisherUniv., Dep. of Business Administration & Economics Marburgen_US
dc.relation.ispartofseriesJoint discussion paper series in economics 2008,23en_US
dc.subject.jelE52en_US
dc.subject.jelF33en_US
dc.subject.jelG14en_US
dc.subject.jelG15en_US
dc.subject.ddc330en_US
dc.subject.keywordArgentinaen_US
dc.subject.keywordFinancial Marketsen_US
dc.subject.keywordU.S. Monetary Policyen_US
dc.subject.keywordFederal Reserve Banken_US
dc.subject.keywordCentral Bank Communicationen_US
dc.subject.keywordMacroeconomic Announcementsen_US
dc.titleAssessing spill-over effects of US monetary policy and macroeconomic announcements on financial markets in Argentinaen_US
dc.typeWorking Paperen_US
dc.identifier.ppn606642064en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
Appears in Collections:MAGKS Joint Discussion Paper Series in Economics, Universität Marburg

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