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Western Hemisphere > Argentina

You are looking at 1 - 5 of 5 items for :

  • Type: Journal Issue x
  • International Policy Coordination and Transmission x
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Cover IMF Working Papers
Unconventional Policies and Exchange Rate Dynamics
Gustavo Adler
,
Mr. Ruy Lama
, and
Juan Pablo Medina
We study exchange rate dynamics under cooperative and self-oriented policies in a two-country DSGE model with unconventional monetary and exchange rate policies. The cooperative solution features a large exchange rate adjustment that cushions the impact of negative shocks and a moderate use of unconventional policy instruments. Self-oriented policies (Nash equilibrium), however, entail limited exchange rate movements and an aggressive use of unconventional policies in both countries. Our results highlight the role of international policy cooperation in allowing the exchange rate to play the traditional role of shock absorber.
Keywords:
WP; exchange rate; quantitative easing; Foreign Exchange Intervention; International Policy; FX intervention; demand shock; exchange rate depreciation; FX reserve; nominal exchange rate; QE policy; nominal interest rate; QE measure; QE stimulus; FX intervention policy; Bonds; Real exchange rates; Unconventional monetary policies; Exchange rates; Global
Cover IMF Working Papers
Global Liquidity: Availability of Funds for Safe and Risky Assets
Mr. Akito Matsumoto
What is global liquidity and how does it affect an economy? The paper addresses that question by looking at liquidity from two different perspectives: global liquidity as availability of funds in safe and risky asset markets. This distinction between safe and risky asset markets is important due to market segmentation, which called for unconventional monetary policy to restore a function of risky asset markets. To analyze the effect of global liquidity, I construct proxy variables and then asses how they affect an emerging economy whose interest rate is affected by a world risk-free rate and a risk premium. Using the data from four major Latin American countries, I find that these two aspects of global liquidity have similar effects on economic performance in emerging market economies except for their effect on inflation.
Keywords:
WP; liquidity shock; emerging economy; global liquidity; inflation targeting; risk premium; world risk-free rate; unconventional monetary policy; Latin America; liquidity condition; liquidity measure; liquidity injection; International liquidity; Liquidity management; Return on investment; Exchange rates; Liquidity; Global
Cover IMF Working Papers
Measuring Contagion with a Bayesian Time-Varying Coefficient Model
Mr. Alessandro Rebucci
and
Mr. Matteo Ciccarelli
We propose using a Bayesian time-varying coefficient model estimated with Markov chain-Monte Carlo methods to measure contagion empirically. The proposed measure works in the joint presence of heteroskedasticity and omitted variables and does not require knowledge of the timing of the crisis. It distinguishes contagion not only from interdependence but also from structural breaks and can be used to investigate positive as well as negative contagion. The proposed measure appears to work well using both simulated and actual data.
Keywords:
WP; contagion; Gibbs sampling; heteroskedasticity; omitted variable bias; time-varying coefficient models; Chilean peso; U.S. dollar; cross-market correlation; OLS estimate; estimation procedure; correlation coefficient; cross-market linkage; foreign exchange market reaction; Currency markets; Currencies; Metal prices; Public expenditure review; Exchange rates; Global
Cover IMF Working Papers
Financial Integration and Macroeconomic Volatility
Mr. Marco Terrones
,
Mr. Eswar S Prasad
, and
Mr. Ayhan Kose
This paper examines the impact of international financial integration on macroeconomic volatility in a large group of industrial and developing economies over the period 1960-99. We report two major results: First, while the volatility of output growth has, on average, declined in the 1990s relative to the three preceding decades, we also document that, on average, the volatility of consumption growth relative to that of income growth has increased for more financially integrated developing economies in the 1990s. Second, increasing financial openness is associated with rising relative volatility of consumption, but only up to a certain threshold. The benefits of financial integration in terms of improved risk-sharing and consumption-smoothing possibilities appear to accrue only beyond this threshold.
Keywords:
WP; consumption volatility; economy; Financial Globalization; Macroeconomic Fluctuations; Income and Consumption Volatility; International Risk Sharing; income volatility; terms of trade shock; consumption-smoothing opportunity; terms of trade volatility; growth volatility; Consumption; Financial integration; Income; Capital flows; Terms of trade; Global
Cover IMF Working Papers
A Balance Sheet Approach to Financial Crisis
Mr. Brad Setser
,
Nouriel Roubini
,
Mr. Christian Keller
,
Mr. Mark Allen
, and
Mr. Christoph B. Rosenberg
The paper lays out an analytical framework for understanding crises in emerging markets based on examination of stock variables in the aggregate balance sheet of a country and the balance sheets of its main sectors (assets and liabilities). It focuses on the risks created by maturity, currency, and capital structure mismatches. This framework draws attention to the vulnerabilities created by debts among residents, particularly those denominated in foreign currency, and it helps to explain how problems in one sector can spill over into other sectors, eventually triggering an external balance of payments crisis. The paper also discusses the potential of macroeconomic policies and official intervention to mitigate the cost of such a crisis.
Keywords:
WP; foreign currency; hard currency; short-term debt; debt restructuring; interest rate; National balance sheets; financial crisis; IMF policy; emerging markets; capital structure; preferred debt; currency risk; rollover crisis; nominal exchange rate; Financial statements; Currencies; Exchange rates; Global