Thirty Years of Currency Crises in Argentina: External Shocks or Domestic Fragility?

Kaminsky, Graciela; Mati, Amine; Choueiri, Nada

doi:10.3386/w15478

Cited by 9 publications

(6 citation statements)

References 38 publications

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“…In Column 4 we include currency crashes (crisis); this variable proxies for both nominal and real shows (Aghion et al 2001; Kaminsky et al 2009). Much like inflation shocks and RER lags, currency crises definitively increase RER in the short run (as this variable is partially based on the dependent variable) but reduce it in the long run.…”

Section: Econometric Strategy and The Incidence Of Real And Nomisupporting

confidence: 53%

The Effects of Alternative Exchange Rate Regimes on Real Exchange Rate Volatility: Evidence Based on a New Dataset

Carrera

Vúletin

2011

Contemporary Economic Policy

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Do alternative exchange rate regimes affect short‐term real exchange rate volatility differently? The existing empirical evidence is quite mixed with slightly more papers supporting that they do. We show that such lack of consensus is mainly due to current literature limitations regarding the measurement of real exchange rates (RERs), the identification of exchange rate regimes (ERRs), and the control for the incidence of real and nominal shocks. To address these limitations, we construct a novel monthly dataset for 63 countries over the period 1946–2007, which includes market‐determined multilateral RER and a proxy for terms of trade. We find that ERRs indeed affect short‐term real exchange rate volatility differently. While the evidence is generally consistent with Mussa's sticky prices argument, we find that for nonadvanced countries in post‐Bretton Woods there exists a “U‐shape nominal flexibility puzzle of RER.” We also find evidence of a “short‐run RER volatility puzzle.” Having controlled for the incidence of real and nominal shocks, nonadvanced countries' RER volatility remains between 25% and 150% greater than that of the advanced economies. Moreover, the key literature finding that short‐term RER volatility is higher in Bretton Woods (BW) than in post‐Bretton Woods (PBW) for industrialized countries vanishes when using market‐determined multilateral RER instead of official bilateral RER. (JEL F31, F33, F41)

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Section: Econometric Strategy and The Incidence Of Real And Nomisupporting

confidence: 53%

The Effects of Alternative Exchange Rate Regimes on Real Exchange Rate Volatility: Evidence Based on a New Dataset

Carrera

Vúletin

2011

Contemporary Economic Policy

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“…We see similarities and differences in the run-up to currency crises between the periods 1991-2007 and 2008-2009. Similarities consist of the sudden stop in capital flows, drops in commodity prices and a slowdown in international trade, which can be considered external causes (Kaminsky et al, 2009). This could explain why our model performs better for Brazil: most currency crises in Brazil between 1994 and 2007 originate from outside the country, similar to the currency crisis in 2008-2009. Differences are that the situation in the banking sector and the government (fiscal deficit, debt) is more sound in 2008 than in years prior to earlier currency crises, and that the crisis originates in a developed country.…”

Section: Introductionmentioning

confidence: 89%

“…Argentina's long history of currency crises and other financial crises is analyzed in several studies. Kaminsky et al (2009) use a Vector Autoregression (VAR) model to quantify the role of domestic and external shocks in currency crises. They analyze Argentina's currency crises from 1970 to 2001 and find that the crises have different causes.…”

Section: Introductionmentioning

confidence: 99%

An Early Warning System for currency crises in Argentina and Brazil 1990-2009

Boonman¹,

Jacobs²,

Kuper³

2017

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The Global Financial Crisis (GFC) has affected many regions including Latin America. This paper focuses on currency crises in Argentina and Brazil, the two largest economies in South America, and with a wide experience with currency crises. We estimate an Early Warning System, consisting of a static factor model and a multinomial ordered logit model, with monthly data for 1990-2007. Ex ante forecasts for 2008-2009 produce an increased probability of currency crises in the fall of 2008. Our model outcomes confirm that elements from earlier crises are useful to predict the currency crises during the GFC.

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“…This plan was replaced with a dual exchange rate regime based on an official exchange rate of 1.4 pesos per dollar for public sector and tradable transactions, while other transactions were conducted at market rates. By June 2002 the exchange rate reached 4 pesos per dollar (Kaminsky et al, 2009;Mourelle, 2010). 10 See Hornbeck (2013).…”

Section: Econometric Stepsmentioning

confidence: 99%

Dollarization and the relationship between EMBI and fundamentals in Latin American Countries

Cristo

Gómez‐Puig

2017

Cuadernos de Economía

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This paper presents empirical evidence on the interrelationship that exists between the evolution of the Emerging Markets Bonds Index (EMBI) and some macroeconomic variables in seven Latin American countries; two of them (Ecuador and Panama), full dollarized. We make use of a Cointegrated Vector framework to analyze the short run effects from 2001 to 2009. The results suggest that EMBI is more stable in dollarized countries and that its evolution influences economic activity in non-dollarized economies; suggesting that investors' confidence might be higher in dollarized countries where real and financial economic evolution are less vulnerable to external shocks than in non-dollarized ones.

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Thirty Years of Currency Crises in Argentina: External Shocks or Domestic Fragility?

Cited by 9 publications

References 38 publications

The Effects of Alternative Exchange Rate Regimes on Real Exchange Rate Volatility: Evidence Based on a New Dataset

The Effects of Alternative Exchange Rate Regimes on Real Exchange Rate Volatility: Evidence Based on a New Dataset

An Early Warning System for currency crises in Argentina and Brazil 1990-2009

Dollarization and the relationship between EMBI and fundamentals in Latin American Countries

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