Utrera, Gastón Ezequiel
En este trabajo se estima la demanda de dinero de Argentina utilizando vectores auto-regresivos con corrección de errores con el objeto de analizar la respuesta de la oferta monetaria y de los determinantes de aquella (nivel de actividad, precios y tasas de interés) ante una política monetaria expansiva bajo un esquema de tipo de cambio fijo. Los resultados obtenidos son consistentes con recientes reformulaciones del modelo de Mundell-Flemming (para economías abiertas, con libre movilidad de capitales y tipo de cambio fijo) que hacen endógena la tasa de interés doméstica al incluir en el análisis una prima de riesgo país que...
Misas Arango, Martha; Posada, Carlos Esteban; Vásquez, Diego Mauricio
Aunque no creemos que exista necesariamente incompatibilidad entre la teoría cuantitativa y la estrategia IT o los modelos más utilizados para explicar y defender tal estrategia, si es indudable que tanto su diseño como su ejecución y divulgación en la opinión pública pueden tener diversas interpretaciones, siendo algunas contrarias a dicha teoría. A nuestro jucio, el hecho de que la estrategia IT sea percibida, en ocasiones, como “anticuantitativista” es una de las razones para volver a poner a prueba la hipótesis cuantitativa según la cual la cantidad de dinero y el ingreso real son determinantes fundamentales del nivel de precios....
I extend the traditional Diamond Dybvig framework with aggregate liquidity shocks to small open economies. Currency board may imply perfect risk sharing (with perfect credit markets), contrary to Chang and Velasco's findings (2000). With interim-date borrowing constraints and fixed exchange rates, Wallace's (1990) partial suspension of convertibility of deposits is obtained. A banking system with an international lender may implement both allocations without runs. Flexible exchange rates with local-currency denominated deposits improves risk sharing relative to fixed exchange rates when borrowing constraints are present.
Ennis, Huberto María; Keister, Todd
We examine the growth implications of bank runs. To do so, we construct an endogenous growth model in which bank runs occur with positive probability in equilibrium. In this setting, a bank run has a permanent effect on the capital stock and on the level of output. In addition, the possibility of a bank run changes the portfolio choice of banks and thereby affects the long-run growth rate. We consider two different equilibrium selection rules. In the first, a run is triggered by sunspots and occurs with a fixed probability. A higher probability of a run in this case leads...
Cruces, Juan José; Buscaglia, Marcos; Alonso, Joaquín
Most practitioners add the country risk to the discount rate when valuing projects in Emerging Markets. In addition to the problems already pointed out in the literature, in this paper we claim that such practice leads to a pro-cyclical bias in the valuation of long-term projects. The mismatch between the duration of the project and the duration of the most widely used measure of country risk, J. P. Morgan's EMBI, leads to an overvaluation of long-term projects in good times (upward sloping default risk) and to an undervaluation of them when short-term default risk is high (the contrary is true...
The paper demonstrates that two relatively unknown features of the employment cycle in U.S. manufacturing industries can provide a clue to understanding the role of sectorial shocks in the evolution of aggregate employment. First, interindustry wage differentials rise in expansions and fall in contractions. Second, periods of increasing aggregate employment are associated with relatively good price and productivity shocks to capital-intensive sectors. The paper presents a simple general-equilibrium model where bargaining at the industry level and rents due to sector-specific capital generate a wage structure with higher wages in capital-intensive sectors but where the response of wages to sector-specific shocks...
Calvo, Guillermo A.
This paper focuses on capital flow volatility in Emerging Market Economies, EMs. Capital inflows rose to unprecedented heights in the first part of the 1990s, and collapsed very rapidly in the second. Volatility could partly be explained by financial vulnerability in the EMs themselves, but the global nature of the phenomenon raises the suspicion that there are systemic problems largely independent of each individual country. The paper puts forward the conjecture that phenomena like contagion could stem from the way the capital market operates (e.g., crises generated by “margin calls”). These systemic phenomena require systemic instruments. Unfortunately, few are available....
Streb, Jorge Miguel; Bolzico, Javier Alberto; Druck, Pablo; Henke, Alejandro; Rutman, José Isaac; Sosa Escudero, Walter
The paper provides evidence on what affects at the margin the cost and availability of bank credit for firms in Argentina. We study in particular how banks use different pieces of private and public information to screen firms and overcome informational asymmetries in the credit market. Some private information is transferable, like balance sheet data. Private information generated in relationships is not. To capture the closeness of bank relationships, we resort to the concentration of bank credit and the number of credit lines in a bank. We also consider public information available in the Central de Deudores. The cost of...
Ahumada, Hildegart; Garegnani, María Lorena
This paper investigates whether or not a simple -Cagan like- econometric model of demand for currency can be developed for Argentina based on more than sixty years of data (1935-2000). For such a long period the presence of structural breaks cannot be ignored given the variety of economic regimes this country has experienced. The purpose is to understand from an "ex-post" perspective how money holdings have reacted to the two main determinants of their demand: a transaction variable and an opportunity cost after suitable approximations for both concepts could be obtained. Transaction elasticity estimates matter for the distribution effects of...