Noticias y tensiones cambiarias en Argentina
DOI:
https://doi.org/10.24215/18521649e013Palabras clave:
Tipo de Cambio Nominal, Noticias, Transmisión de Shocks Financieros Externos, modelos BEKK, modelos VAR-GARCHResumen
Se estudia la relación entre el tipo de cambio nominal y la difusión de noticias macroeconómicas en Argentina mediante la estimación de un modelo VARX-GARCH(1,1). Los principales resultados empíricos indican que: 1) La transmisión de shocks financieros adversos procede fundamentalmente desde Estados Unidos y opera mediante el spread de tasas de interés (EMBI+ para Argentina); 2) Las noticias recopiladas de periódicos locales y extranjeros no ejercen efectos económicos relevantes para explicar la dinámica del tipo de cambio nominal; y 3) La volatilidad condicional de los shocks aleatorios asociados a las variables endógenas del modelo VARX puede formalizarse mediante una estrategia GARCH(1,1).
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