Noticias y tensiones cambiarias en Argentina

  • Fernando Toledo Facultad de Ciencias Económicas. Universidad Nacional de La Plata, Argentina.
  • Leonardo Caravaggio Facultad de Ciencias Económicas. Universidad Nacional de Buenos Aires, Argentina.
Palabras clave: Tipo de Cambio Nominal, Noticias, Transmisión de Shocks Financieros Externos, modelos BEKK, modelos VAR-GARCH


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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Biografía del autor/a

Fernando Toledo, Facultad de Ciencias Económicas. Universidad Nacional de La Plata, Argentina.

Licenciado y Magister en Economía (UNLP). Docente de la UNLP (Finanzas Internacionales). Se desempeña profesionalmente en el Ministerio de Economía de la Nación (Dirección Nacional de Política Macroeconómica). Se especializa en Macroeconomía del Desarrollo, Distribución del Ingreso y Economía Monetaria Internacional. Cuenta con publicaciones recientes en International Journal of Political EconomyEl Trimestre Económico, y Journal of Globalization and Development

Leonardo Caravaggio, Facultad de Ciencias Económicas. Universidad Nacional de Buenos Aires, Argentina.

Licenciado y Magister en Economía (UBA). Maestrando en Filosofía Política (UNQui). Es analista macroeconómico en el Ministerio de Economía de la Nación (Dirección Nacional de Modelos y Proyecciones). Es docente universitario en UBA (Microeconomía II), en el ITBA (Análisis Predictivo) y en el centro de capacitación del Ministerio de Economía. Cuenta con publicaciones en Revista de Economía y Estadística (UNC), Estudios Económicos (UNS), Revista Cultura Económica (UCA), y otros.


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Cómo citar
Toledo, F., & Caravaggio, L. (2020). Noticias y tensiones cambiarias en Argentina. Económica, 66, 013.
Recibido 2019-06-24
Aceptado 2020-10-05
Publicado 2020-12-30