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dc.contributor.authorHayo, Bernden
dc.contributor.authorNeuenkirch, Matthiasen
dc.date.accessioned2009-08-12-
dc.date.accessioned2010-03-05T15:43:28Z-
dc.date.available2010-03-05T15:43:28Z-
dc.date.issued2008-
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
dc.language.isoengen
dc.publisher|aPhilipps-University Marburg, Faculty of Business Administration and Economics |cMarburgen
dc.relation.ispartofseries|aMAGKS Joint Discussion Paper Series in Economics |x2008,23en
dc.subject.jelE52en
dc.subject.jelF33en
dc.subject.jelG14en
dc.subject.jelG15en
dc.subject.ddc330en
dc.subject.keywordArgentinaen
dc.subject.keywordFinancial Marketsen
dc.subject.keywordU.S. Monetary Policyen
dc.subject.keywordFederal Reserve Banken
dc.subject.keywordCentral Bank Communicationen
dc.subject.keywordMacroeconomic Announcementsen
dc.titleAssessing spill-over effects of US monetary policy and macroeconomic announcements on financial markets in Argentina-
dc.type|aWorking Paperen
dc.identifier.ppn606642064en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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