Does the Currency Board Matter? U.S. News and Argentine Financial Market Reaction

MAJKS Joint Discussion Paper in Economics No. 23-2008

17 Pages Posted: 18 Nov 2008 Last revised: 9 Jul 2012

See all articles by Bernd Hayo

Bernd Hayo

University of Marburg - School of Business & Economics

Matthias Neuenkirch

University of Trier - Faculty of Economics; CESifo (Center for Economic Studies and Ifo Institute)

Date Written: July 9, 2012

Abstract

Using a GARCH model, we study the effects of U.S. monetary policy and macroeconomic announcements on Argentine money, stock, and foreign exchange markets over the period January 1998 to July 2007. We show, first, that both types of news have a significant impact on all markets. Second, there are noticeable differences in reaction for different subsamples: Argentine money markets were more dependent on U.S. news under the currency board than after it was abandoned as the floating exchange rate partly absorbs spillover effects from the United States. Finally, we find that U.S.-dollar-denominated assets react less to U.S. news than peso-denominated assets, which suggests that the currency board was not completely credible during its final years.

Keywords: Argentina, Financial Markets, Monetary Policy, Federal Reserve Bank, Central Bank Communication, Macroeconomic Announcements

JEL Classification: E52, F33, G14, G15

Suggested Citation

Hayo, Bernd and Neuenkirch, Matthias, Does the Currency Board Matter? U.S. News and Argentine Financial Market Reaction (July 9, 2012). MAJKS Joint Discussion Paper in Economics No. 23-2008. Available at SSRN: https://ssrn.com/abstract=1302847 or http://dx.doi.org/10.2139/ssrn.1302847

Bernd Hayo

University of Marburg - School of Business & Economics ( email )

Universitaetsstr. 24
Marburg, D-35032
Germany
++49(0)6421-28-23091 (Phone)
++49(0)6421-28-23193 (Fax)

Matthias Neuenkirch (Contact Author)

University of Trier - Faculty of Economics ( email )

Universit├Ątsring 15
Trier, 54296
Germany
+49 - (0)651 - 201 - 2629 (Phone)

HOME PAGE: http://www.uni-trier.de/index.php?id=50130

CESifo (Center for Economic Studies and Ifo Institute) ( email )

Poschinger Str. 5
Munich, DE-81679
Germany

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