Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/30121 
Erscheinungsjahr: 
2008
Schriftenreihe/Nr.: 
MAGKS Joint Discussion Paper Series in Economics No. 2008,23
Verlag: 
Philipps-University Marburg, Faculty of Business Administration and Economics, Marburg
Zusammenfassung: 
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.
Schlagwörter: 
Argentina
Financial Markets
U.S. Monetary Policy
Federal Reserve Bank
Central Bank Communication
Macroeconomic Announcements
JEL: 
E52
F33
G14
G15
Dokumentart: 
Working Paper

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