Modeling the Impact of Real and Financial Shocks on Mercosur: The Role of the Exchange Rate Regime

Allégret, Jean-Pierre; Sand-Zantman, Alain

doi:10.1007/s11079-007-9069-x

Cited by 6 publications

(6 citation statements)

References 30 publications

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“…Our findings confirm Allegret and Sand-Zantman (2008) about the specific sensitivity of Argentina to EMBI shock. During the first half of the 90s, Argentina was one of the main borrowers in international capital markets enjoying very favorable financing conditions, while in the second half of the decade the economy suffered from a sudden-stop of capital inflows.…”

Section: Responses Of Domestic Variables To External Shocks: Is Transsupporting

confidence: 88%

“…the end of hyperinflation and the dramatic increase in commodities prices after 2000-and/or changes in policy regimes such as the exchange rate regimes collapses that result in 2 . See for instance Salvatore (2001), Corbo (2001), Alesina et al (2003), Karas (2003), Larrain and Tavares (2003), Hallwood et al (2006), and Allegret andSand-Zantman (2007 and2008 …”

Section: Non-stationarity and Structural Breaks: The Special Case Of mentioning

confidence: 99%

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Does a Monetary Union Protect again Foreign Shocks? An Assessment of Latin American Integration using a Bayesian VAR

Allégret

Sand

2008

SSRN Journal

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Abstract:This paper analyses the monetary consequences of the Latin-American trade integration process. We consider a sample of five countries -Argentina, Brazil, Chile, Mexico and Uruguay-spanning the period 1991-2007. The main question raised pertains to the feasibility of a monetary union between L.A. economies. To this end, we study whether this set of countries is characterized by business cycle synchronization with the occurrence of common shocks, a strong similarity in the adjustment process and the convergence of policy responses. We focus especially our attention on two points. First, we try to determine to what extent international disturbances influence the domestic business cycles through trade and/or financial channels. Second, we analyze the impact of the adoption of different exchange rate regimes on the countries' responses to shocks. All these features are the main issues in the literature relative to regional integration and OCA process.

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Section: Responses Of Domestic Variables To External Shocks: Is Transsupporting

confidence: 88%

Section: Non-stationarity and Structural Breaks: The Special Case Of mentioning

confidence: 99%

Does a Monetary Union Protect again Foreign Shocks? An Assessment of Latin American Integration using a Bayesian VAR

Allégret

Sand

2008

SSRN Journal

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“…Brezilya (1999) ve Arjantin (2001)(2002) krizleri, makroekonomik değişkenlerin oynaklığının güçlü bir şekilde artmasına neden olmuştur. Bu noktada ekonomiler, şoklar karşısında önceliği ulusal kaygılara vermiştir (Allegret & Sand-Zantman, 2009). FD: Finansal Gelişme Endeksi, FI: Finansal Kurumlar Endeksi, FM: Finansal Piyasalar Endeksi, FID: Finansal Kurumlar Derinlik Endeksi, FIA: Finansal Kurumlar Erişim Endeksi, FIE: Finansal Kurumlar Etkinlik Endeksi, FMD: Finansal Piyasalar Derinlik Endeksi, FMA: Finansal Piyasalar Erişim Endeksi, FME: Finansal Piyasalar Etkinlik Endeksini temsil etmektedir.…”

Section: Teorik çErçeveunclassified

Analysis of Financial Development Shocks at Different Time Scales with Wavelet Transform (Wavelet): The Case of MERCOSUR Countries

ERGÜN TATAR

2023

Sosyoekonomi

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Bu çalışmanın temel amacı, 1980-2020 dönemi yıllık verilerle MERCOSUR ülke grubunda finansal gelişme şoklarını analiz etmektir. Analizde, finansal gelişmeyi temsilen finansal gelişim endeksi (FD) ve onu oluşturan finansal kurumlar endeksi (FI) ile finansal piyasalar endeksleri (FM) kullanılmıştır. Dalgacık dönüşümü kullanılarak şokların kısa, orta ve uzun vadede kalıcı olup olmadığı sınanmıştır. Bu yönüyle çalışma literatüre önemli katkı sunmaktadır. Araştırma neticesinde orta vadede, incelenen tüm değişkenlerin karşılaştığı şokların geçici özellik taşıdığı tespit edilmiştir.

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“…the end of hyperinflation and the dramatic increase in commodities prices after 2000-and/or changes in policy regimes such as the exchange rate regimes collapses that result in new 2 . See for instance Salvatore (2001), Corbo (2001), Alesina et al (2003), Karas (2003), Larrain and Tavares (2003), Hallwood et al (2006), and Sand-Zantman (2007 and2008). 3 .…”

Section: Non-stationarity and Structural Breaks: The Special Case Of mentioning

confidence: 99%

Does a Monetary Union protect against external shocks?

Allégret

Sand-Zantman

2009

Journal of Policy Modeling

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This paper analyses the monetary consequences of the Latin-American trade integration process. We consider a sample of five countries-Argentina, Brazil, Chile, Mexico and Uruguay-spanning the period 1991-2007. The main question raised pertains to the feasibility of a monetary union between L.A. economies. To this end, we study whether this set of countries is characterized by business cycle synchronization with the occurrence of common shocks, a strong similarity in the adjustment process and the convergence of policy responses. We focus especially our attention on two points. First, we try to determine to what extent international disturbances influence the domestic business cycles through trade and/or financial channels. Second, we analyze the impact of the adoption of different exchange rate regimes on the countries' responses to shocks. All these features are the main issues in the literature relative to regional integration and OCA process.

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Modeling the Impact of Real and Financial Shocks on Mercosur: The Role of the Exchange Rate Regime

Abstract: Business cycles, OCA, Co-movement, VAR, Unobserved components model, Mercosur, C32, E32, F42,

Cited by 6 publications

References 30 publications

Does a Monetary Union Protect again Foreign Shocks? An Assessment of Latin American Integration using a Bayesian VAR

Does a Monetary Union Protect again Foreign Shocks? An Assessment of Latin American Integration using a Bayesian VAR

Analysis of Financial Development Shocks at Different Time Scales with Wavelet Transform (Wavelet): The Case of MERCOSUR Countries

Does a Monetary Union protect against external shocks?

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