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  • Buenos Aires: Banco Central de la República Argentina (BCRA), Investigaciones Económicas (ie)  (31)
  • Spanish  (31)
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  • 1
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    Buenos Aires: Banco Central de la República Argentina (BCRA), Investigaciones Económicas (ie)
    Publication Date: 2019-08-31
    Description: This paper analyzes the impact of external price shocks on the real exchange rate and the existence of the Dutch disease, in the case of the Argentine economy. We consider the effects of shocks on the terms of trade, the supply of the agricultural sector (booming sector) and the real exchange rate on the GDP of the manufacturing sector (or, alternatively, on total GDP) and unemployment rates. SVAR models, with long-term restrictions, and quarterly data, covering the 1993-2018 period, are estimated. The results show that the external price shocks and agricultural sector shocks affect positively and permanently to the manufacturing GDP and negatively to the unemployment rates, not finding substantial evidence about existence of the Dutch disease for this economy.
    Keywords: C32 ; F41 ; ddc:330 ; external price shocks ; real exchange rate ; Dutch disease ; SVAR models ; Argentina
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: Spanish
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  • 2
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    Buenos Aires: Banco Central de la República Argentina (BCRA), Investigaciones Económicas (ie)
    Publication Date: 2019-08-31
    Description: In this paper I present a real-time estimation of the evolution of the Investment, constructed from a broad set of high frequency economic indicators: known in the literature as Nowcasting. The Nowcast exercise was developed considering three groups of monthly indicators throughout dynamic factor models to forecast Investment growth. Additionally, I conducted a forecast-pooling exercise. Using the Giacomini and White test it was possible to conclude that factor models and the pooling exhibit a better relative predictive capacity than an AR (1) model considered as a benchmark. Furthermore, the inclusion of more indicators does not necessarily improve the predictive capacity.
    Keywords: C22 ; C53 ; E37 ; ddc:330 ; Bruttoinlandsprodukt ; Investition ; Prognoseverfahren ; Theorie ; Argentinien
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: Spanish
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  • 3
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    Buenos Aires: Banco Central de la República Argentina (BCRA), Investigaciones Económicas (ie)
    Publication Date: 2019-08-31
    Description: The aim of this paper is to identify the different shocks that could affect the current account in the argentine case, such as the terms of trade (the Harberger-Laursen-Metzler effect-HLM), supply shocks (productivity), demand shocks (real exchange rate and public consumption /current GDP) and the shocks on the production side of the economy. SVAR models with long-term restrictions and quarterly data covering the period 1994-2018 are used. The results of the impulse-response functions suggest the existence of the HLM effect for this country. Shocks in the terms of trade would initially affect to the current account positively, as the improvements in the productivity and in the public saving (lower consumption).
    Keywords: C3 ; E62 ; F32 ; F41 ; ddc:330 ; current account ; terms of trade ; Harberger-Laursen-Metzler (HLM) effect ; productivity ; public consumption ; SVAR models
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: Spanish
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  • 4
    Publication Date: 2019-08-31
    Keywords: C32 ; E13 ; E30 ; E52 ; O40 ; ddc:330 ; Produktionspotenzial ; Argentinien
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: Spanish
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  • 5
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    Buenos Aires: Banco Central de la República Argentina (BCRA), Investigaciones Económicas (ie)
    Publication Date: 2019-08-31
    Description: This paper investigates the sources of fluctuations in exports of primary products and manufactures of agricultural origin in Argentina, using structural VEC models (Structural Vector Error Correction) and annual data covering the period 1980-2016. To this end, long term restrictions are imposed on these models and the following structural shocks are identified: real effective exchange rate of U.S., international prices of commodities, agricultural GDP and real exchange rate of Argentina (in addition to exports of these products). The results show that the main sources of fluctuations in exports, after ten years, would be the shocks in international prices and real exchange rate of U.S., while the importance of the real exchange rate of Argentina and, especially, of the supply shocks would be smaller.
    Keywords: C3 ; F1 ; Q1 ; ddc:330 ; macroeconomic shocks ; exports ; primary products ; SVEC models ; Argentina
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: Spanish
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  • 6
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    Buenos Aires: Banco Central de la República Argentina (BCRA), Investigaciones Económicas (ie)
    Publication Date: 2019-08-31
    Keywords: C13 ; E31 ; E52 ; E58 ; ddc:330
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: Spanish
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  • 7
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    Buenos Aires: Banco Central de la República Argentina (BCRA), Investigaciones Económicas (ie)
    Publication Date: 2019-08-31
    Keywords: ddc:330
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: Spanish
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  • 8
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    Buenos Aires: Banco Central de la República Argentina (BCRA), Investigaciones Económicas (ie)
    Publication Date: 2018-07-03
    Keywords: ddc:330 ; Zins ; Wechselkurs ; Geldpolitik ; Wechselkurspolitik ; DSGE-Modell
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: Spanish
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  • 9
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    Buenos Aires: Banco Central de la República Argentina (BCRA), Investigaciones Económicas (ie)
    Publication Date: 2018-07-03
    Keywords: C23 ; D31 ; D33 ; E44 ; F32 ; F41 ; ddc:330 ; Einkommensverteilung ; Leistungsbilanz ; Finanzsystem ; Finanzkrise ; Schwellenländer ; Industrieländer ; Welt
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: Spanish
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  • 10
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    Buenos Aires: Banco Central de la República Argentina (BCRA), Investigaciones Económicas (ie)
    Publication Date: 2018-07-03
    Description: Con el propósito de brindar una herramienta que permita una major gestión de riesgos y una adecuada regulación, en este trabajo se aplica una metodología para la medición de riesgo de tasa de interés. Luego de la estimación y simulación de la estructura temporal de tasas de interés se realiza el cálculo del value at risk y del expected shortfall sobre los resultados de una cartera. Una aplicación de la teoría de las probabilidades y, en particular, de las distribuciones alfa–estables ha permitido representar el comportamiento típicamente asimétrico, leptocúrtico y con colas pesadas de los rendimientos financieros y la ocurrencia de escenarios extremos.
    Description: In order to provide a tool for risk management improvement and appropriate regulation, a methodology for measuring interest rate risk is applied in this paper. After estimating and simulating the interest rate term structure, the value at risk and expected shortfall are calculated on a portfolio. An application of alpha-stable distributions has allowed representing the asymmetric, leptokurtic and heavy tailed shape of financial returns and occurrence of extreme scenarios.
    Keywords: C15 ; C16 ; E43 ; E59 ; G11 ; G12 ; ddc:330 ; Zinsrisiko ; Zinstheorie ; Risikomaß ; Statistische Verteilung ; Statistischer Test
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: Spanish
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  • 11
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    Buenos Aires: Banco Central de la República Argentina (BCRA), Investigaciones Económicas (ie)
    Publication Date: 2018-07-03
    Description: The document focuses on the econometric treatment of macro panels, known in literature as panel time series. This new approach rejects the assumption of slopes' homogeneity and handles nonstationarity. It also recognizes that the presence of cross-section dependence (CSD), i.e. some correlation structure in the error term between units due to the presence of unobservable common factors, squanders efficiency gains by operating with a panel. This led to a new set of estimators known in literature as Common Correlated Effect (CCE), which essentially consists of increasing the model to be estimated by adding the averages of the individuals in each time t, of both the dependent variable and the specific regressors of each individual. Finally, two Stata codes developed for the evaluation and treatment of the cross-section dependence are presented.
    Keywords: ddc:330
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: Spanish
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  • 12
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    Buenos Aires: Banco Central de la República Argentina (BCRA), Investigaciones Económicas (ie)
    Publication Date: 2018-07-03
    Keywords: C22 ; C53 ; E37 ; ddc:330
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: Spanish
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  • 13
    Publication Date: 2018-07-03
    Description: We study the interest rate spread of the Argentine financial system during the last eighteen years. We analyze Granger causality of selected variables, and estimate econometric models that relate spread to macroeconomic and microeconomic factors. Resuls indicate that output growth and monetization reduce spread during the whole period, while country risk and prices are significant only by subperiods, suggesting changes in macroeconomic context. Banking system variables also have significant impacts, including: taxes, administrative expenses, non-performing loans, the use of own resources and liquidity.
    Keywords: C22 ; E44 ; G21 ; ddc:330 ; Zinsstruktur ; Kausalanalyse ; Ökonometrisches Modell ; Wechselkurs ; Argentinien
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: Spanish
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  • 14
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    Buenos Aires: Banco Central de la República Argentina (BCRA), Investigaciones Económicas (ie)
    Publication Date: 2018-07-03
    Keywords: G10 ; G11 ; D14 ; ddc:330
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: Spanish
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  • 15
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    Buenos Aires: Banco Central de la República Argentina (BCRA), Investigaciones Económicas (ie)
    Publication Date: 2019-08-30
    Keywords: C31 ; G21 ; G28 ; R12 ; ddc:330
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: Spanish
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  • 16
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    Buenos Aires: Banco Central de la República Argentina (BCRA), Investigaciones Económicas (ie)
    Publication Date: 2018-07-03
    Description: This paper examines the relationship between stock market development and economic growth in case of Argentina's economy. Apply Granger causality and exogeneity tests based on VEC (vector error correction) models with monthly data covering the period 1993:1-2010:8. The results show that the major stock indices of Buenos Aires Stock Exchange Market (MERVAL25 and BURCAP) Granger cause to the estimator of economic activity (EMAE). In turn, both indices could be considered exogenous variables (weak and strong). Both stock indexes may predict future movements of the monthly indicator of economic activity. The results are in line with the theory that states that the development of financial markets impact on economic growth.
    Keywords: C1 ; G1 ; O4 ; ddc:330 ; stock market development ; economic growth ; VEC models ; Granger causality ; exogeneity ; Aktienmarkt ; Wirtschaftswachstum ; Kausalanalyse ; VAR-Modell ; Argentinien
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: Spanish
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  • 17
    Publication Date: 2018-07-03
    Description: Economist usually think and work taking into account the temporal dimension of economic and financial processes. Time plays a key role in the economic decision making process and is a fundamental input for statistical models useful to analyze and predict social behavior. Thus time invades our practice. By contrast the role of territory in economic analysis is far more neglected. Territory is usually subsumed in other dimensions which are related, but are different. As a generator and promoter of public policies, the Central Bank of Argentina undergoes periodic efforts to measure, study and analyze the access and use of financial services by households and businesses in Argentina. The information gathered for this purposes, although descriptive, presents limitations on the spatial analysis that can be derived from it. Hence, we have systematized the information available to the Central Bank in the last ten years to move beyond that limitation. The result is a set of economic and financial variables and aggregate indicators of financial services market, demand and supply for 3431 Argentine localities. Furthermore, this paper, albeit being preliminary, proposes a system of geo-referenced local indicators which can be used as input for the formulation of economic and financial policies.
    Keywords: C81 ; G21 ; R12 ; R38 ; ddc:330 ; financial inclusion ; financial policies ; financial services ; geo-referenced local indicators ; spatial analysis ; Regionaler Finanzsektor ; Argentinien
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: Spanish
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  • 18
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    Buenos Aires: Banco Central de la República Argentina (BCRA), Investigaciones Económicas (ie)
    Publication Date: 2018-07-03
    Description: This paper presents and evaluates the hypothesis that emerging countries specialized in commodity production are prone to experience non orthogonal commercial and financial shocks. Specifically, we investigate a set of global macroeconomic variables that, in principle, could simultaneously determine in opposite direction commodity prices and bonds spreads in commodity-exporting emerging economies. Employing common factors techniques and pairwise correlation analysis we find a strong negative correlation between commodity prices and emerging market spreads. Moreover, the empirical FAVAR (Factor Augmented VAR) model developed to test our main hypothesis confirms that this negative association pattern is not only explained by the fact that commodity prices are one of the most relevant fundamentals of bond spreads of commodity exporters. In particular, we find that reductions in international interest rates and global risk appetite; rises in quantitative global liquidity measures and equity returns; and US dollar depreciations, tend to diminish spreads of emerging economies and strengthen commodity prices at the same time. These results are relevant in order to improve our knowledge regarding the reasons behind some typical characteristics of emerging commodity producers, such as their tendency to experience high levels of macroeconomic volatility and procyclicality, or their propensity to be affected from exchange rate overshooting, external crisis and sudden stops. Concerning policy lessons, a mayor conclusion is the complexity of the task of disentangle challenges coming from financial openness and structural considerations in emerging economies, such as the lack of diversification of the productive structure or the difficulties of a grow strategy solely based on natural recourses. It would be profitable to internalize the connection between these two key variables in formulating and conducting economic policy.
    Keywords: F32 ; F42 ; O13 ; ddc:330 ; commodity prices ; emerging economies ; financial flows ; market spreads
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: Spanish
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  • 19
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    Buenos Aires: Banco Central de la República Argentina (BCRA), Investigaciones Económicas (ie)
    Publication Date: 2018-07-03
    Description: The purpose of this document is to prove that the establishment in Argentina of regulations and records for exchange market transactions has a positive externality with respect to the prevention and control of asset laundering and potential terrorist financing, thus making this type of criminal transactions through this channel extremely difficult.
    Keywords: F31 ; G18 ; K14 ; ddc:330 ; Argentina ; exchange rate market regulations ; asset laundering ; terrorist financing ; Devisenmarkt ; Wechselkurspolitik ; Argentinien
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: Spanish
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  • 20
    Publication Date: 2018-07-03
    Description: In order to promote public policies aimed at enhancing financial inclusion, the Central Bank of Argentina makes periodic efforts to study, measure and analyze the processes of access and use of financial services by households in Argentina. The main objective of this paper is to use the information gathered by INDEC's Permanent Household Survey to explore the use of credit (from both formal and informal financial providers) and dissaving to understand the determinants of household financial behavior. Using multivariate probit models, we document the effects of different demographic and socio-economic variables on the estimated probability of adopting certain financial behaviors. These models can also be a statistically appropriate way to analyze the simultaneous determination of different observed actions in households' financial management. Thus, controlling for a set of exogenous variables while adding explanatory variables as endogenous regressors, we show that the inclusion of the latter is both statistically relevant and useful in identifying the existence of substitutability between some financial behaviors and of complementarity among others.
    Keywords: C31 ; G20 ; R29 ; ddc:330 ; Argentina ; financial services ; financial behavior of families ; household surveys ; multivariate probit
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: Spanish
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  • 21
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    Buenos Aires: Banco Central de la República Argentina (BCRA), Investigaciones Económicas (ie)
    Publication Date: 2018-07-03
    Description: Although the international crisis was initially seen as an event limited to a particular segment of the financial systems of central economies, it rapidly escalated and became global through different transmission channels, raising doubts over the hypothesis of the so-called decoupling. Latin American economies faced this new scenario under more robust conditions than in the past episodes of crisis. The good macroeconomic performance of the region during the five-year period prior to the onset of the crisis reduced the vulnerability of these economies and increased the degrees of freedom of economic policy authorities to implement counter-cyclical policies in the new international context. Despite the efforts made by these economies, a comprehensive policy response will require a commitment of resources and coordination by the main developed economies. In this sense, policy challenges are not limited to emerging economies: they imply a global coordination effort.
    Keywords: E60 ; F42 ; F44 ; G01 ; ddc:330 ; center and periphery ; counter-cyclical policies ; emerging economies ; international crisis ; Latin America ; transmission mechanisms
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: Spanish
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  • 22
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    Buenos Aires: Banco Central de la República Argentina (BCRA), Investigaciones Económicas (ie)
    Publication Date: 2018-07-03
    Description: The profit-maximizing and oligopoly bank model developed by Bresnahan and Lau allows determining the degree of market power held by an average bank. The equilibrium price equation includes a mark up, which is not used in the case of perfect competition but which is partially used in the case of oligopoly or monopolistic competition, and it is fully used in the case of monopoly. This paper explores the degree of competition in the credit market of Argentina in the period 2002-2007. The hypothesis of perfect competition in the loan market can be rejected.
    Keywords: E43 ; E51 ; F36 ; G21 ; L1 ; ddc:330 ; Argentina ; banks ; Cournot equilibrium ; market power ; loan markets ; oligopoly ; perfect competition ; Bank ; Kreditmarkt ; Marktstruktur ; Argentinien
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: Spanish
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  • 23
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    Buenos Aires: Banco Central de la República Argentina (BCRA), Investigaciones Económicas (ie)
    Publication Date: 2018-07-03
    Description: Dynamic and Stochastic General Equilibrium (DSGE) models have become a frequent choice of modeling methodology for complex dynamic and stochastic phenomena in different branches of economics. They are increasingly used by decision-makers to analyze various policy decisions or to generate rigorous forecasts. This paper seeks to provide a first approximation to this fascinating field within the mathematical modeling of human endeavor. It synthesizes how DSGE models are constructed and also illustrates how they are solved and how their parameters are calibrated or econometrically estimated, using software especially designed for such a purpose.
    Keywords: C32 ; C63 ; ddc:330 ; DSGE models ; bayesian estimation
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: Spanish
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  • 24
    Publication Date: 2018-07-03
    Description: The presence of seasonal fluctuations (regular behavior along the year related to weather or institutional factors) invalidates monthly (quarterly) comparisons. In turn, since inter-annual variations depend on the comparison basis being used, they could provide very little information to the short-term analysis. The purpose of this document is, on the one hand, to underline the need of using time series adjusted for seasonality and for calendar effects in the short-term analysis and, on the other hand, to show an application of seasonal adjustment to Bills & Coins (B&C) time series of Argentina in the period 1992-2007. The main contribution of this application, if compared to seasonal adjustments made before, lies in the fact that it incorporates for the first time the local calendar into the seasonal analysis, in addition to taking advantage of other attributes of the seasonal adjustment such as the ad-hoc length of the seasonal and trend-cycle filters which provide a more appropriate adjustment to the data observed in the Argentine economy. The role of the calendar effects to explain the seasonal contribution turned out to be statistically significant though of relative economic importance, with the exception of the month of December. Regarding the seasonal component, the main source behind seasonality has not been modified in the period under analysis. However, the intensity of the seasonal component has changed. B&C seasonal factors suffered a significant reduction from 1997 to date. The reasons are strongly related to the bank service accessibility process and the introduction of new technologies into the Argentine economy since the late 1990s. It is likely that the payment of salaries to employees through bank accounts has been the most influential factor of this bank service accessibility process. As regards seasonality contribution to B&C demand for the period 2003-2007, it is close to ± 3 pp of demand, depending on whether it is a peak (i.e. an increase of demand due to seasonal factors) or a valley (i.e. a lower demand due to seasonal reasons).
    Keywords: C40 ; E50 ; ddc:330 ; Argentina ; calendar effects ; monetary aggregates ; seasonal adjustment
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: Spanish
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  • 25
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    Buenos Aires: Banco Central de la República Argentina (BCRA), Investigaciones Económicas (ie)
    Publication Date: 2018-07-03
    Description: All severe crises have required a reformulation of the International Financial Architecture (IFA). The G20, abruptly turned into a discussion and action forum to cope with the crisis, focused its work on two areas: first, the coordination of the macroeconomic policies to come out of the crisis and, second, the reform of IFA as regards financial regulations and multilateral lending and supervision organizations. Other critical aspects, such as the international monetary system operating rules, were not part of the IFA’s agenda. In this context, the current exchange rate and monetary “non-regime” which gave rise to phenomena such as global imbalances, lacked clear rules about the role played by the dollar in the supply of international liquidity and as reserve value, and also lacked a lender of last resort, is still subject to an intense discussion. The opening of the IFA redesign process to other players, such as the emerging economies, is undoubtedly a positive sign. Now, the challenge is to continue supporting this framework once the crisis has been overcome so that these countries may have a less asymmetric international insertion.
    Keywords: F02 ; F42 ; G01 ; G18 ; ddc:330 ; emerging economies ; financial regulation ; G20 ; international crisis ; international financial architecture ; policy coordination
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: Spanish
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  • 26
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    Buenos Aires: Banco Central de la República Argentina (BCRA), Investigaciones Económicas (ie)
    Publication Date: 2018-07-03
    Description: Until the eruption of the 2007-2008 international crisis, the decade was characterized by a high growth of credit - especially credit lines for consumption - and of GDP in a large part of the developed and developing worlds. By the end of the period, the process coincided with increasing inflationary pressures in several countries, which might suggest a potential relationship between credit for consumption and inflation. To give an answer to this question, we have performed an econometric analysis using information on 30 countries, both developed and developing, for the period 1995-2007. Our findings reject this hypothesis unequivocally since they provide no evidence whatsoever of a relationship between these two variables. Our interpretation of this first evidence is that the absence of the anticipated effect may result from the scarce weight of credit on the private sector’s spending.
    Keywords: C23 ; E21 ; E31 ; ddc:330 ; consumer credit ; inflation ; panel data analysis ; private sector expenditure
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: Spanish
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  • 27
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    Buenos Aires: Banco Central de la República Argentina (BCRA), Investigaciones Económicas (ie)
    Publication Date: 2018-07-03
    Description: This paper analyzes the determinants of the interest rate of short-term unsecured loan inter-bank market (call) in Argentina. The results show that the heterogeneous nature of the entities, in terms of size and origin of ownership, impacts on the interest rate agreed. Other additional aspects, such as the linkages between entities and the degree of supply or demand concentration, also affect the cost of funding. The structure of the market and the repo rates established by the BCRA are also relevant. Finally, the interest rate reacts positively when banks have a higher demand for liquidity, due to both seasonality and episodes of reduction in deposits.
    Keywords: E43 ; E58 ; G14 ; G21 ; ddc:330 ; Argentina ; interest rate ; monetary policy ; short-term liquidity markets ; Geldmarkt ; Zins ; Argentinien
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: Spanish
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  • 28
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    Buenos Aires: Banco Central de la República Argentina (BCRA), Investigaciones Económicas (ie)
    Publication Date: 2018-07-03
    Description: This paper analyzes the response of the soybean sown area of Argentina to changes in price incentives and other variables which are relevant for agricultural production. To this effect, VEC models are estimated for some of the main producing provinces and for the country’s total in the period 1974-2006. The estimated models allow analyzing the long-term relationship among the share of soybean sown area, relative prices, the use of certain inputs, and the risks involved. For models where cointegration relations are observed, positive and significative responses are found in the soybean sown area to changes in relative prices.
    Keywords: C1 ; Q1 ; R3 ; ddc:330 ; agricultural production ; Argentina ; elasticities ; relative prices ; risks ; soybean
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
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  • 29
    Publication Date: 2018-07-03
    Description: This paper analyzes the relationship between the quality of the commercial credit portfolio and diversification in the financial entities of Argentina during the period 1998-2006. To this effect, a database of the financial sector (banking and non-banking) is used, which allows to consider three potential dimensions of diversification: per productive sector, per province and per client. In addition to characterizing the financial entities’ diversification decisions during the period under analysis, which includes the severe economic and financial crisis of late 2001, the paper analyzes the determinants of the portfolio’s quality including the effect of diversification in the three dimensions stated above. The results indicate that, by controlling for the relevant variables, specialization improves the quality of the credit portfolio.
    Keywords: C23 ; G21 ; G23 ; ddc:330 ; Argentina ; banks ; credit diversification ; loan quality ; non-performing loans ; Bankrisiko ; Diversifikation ; Argentinien
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: Spanish
    Type: doc-type:workingPaper
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  • 30
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    Buenos Aires: Banco Central de la República Argentina (BCRA), Investigaciones Económicas (ie)
    Publication Date: 2018-07-03
    Description: The main purpose of this paper is to study the problem created by the lack of information about the credit history of some debtors in the databases used to develop credit scoring models and the use of information about behavior compiled by a credit risk register as a potential solution to the problem. The paper analyzes two problems: (i) the need to provide a credit risk estimation of debtors whose behavior is unknown (because they are deleted from the databases without indication of the reason), and (ii) the assessment of the impact of ignoring these data when evaluating the credit risk of entities’ portfolios. The fundamental strategy will be to allow the use of debtors’ credit history in other entities, recorded in the credit risk register.
    Keywords: C35 ; D81 ; G21 ; G28 ; ddc:330 ; credit scoring ; credit registers ; credit risk ; imputation ; information sharing ; missing data
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: Spanish
    Type: doc-type:workingPaper
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  • 31
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    Buenos Aires: Banco Central de la República Argentina (BCRA), Investigaciones Económicas (ie)
    Publication Date: 2018-07-03
    Description: Inflation forecasting plays a central role in monetary policy formulation. At the same time, recent international empirical evidence suggests that with the decline in inflation of recent years, the joint dynamics of this variable and its potential predictors has changed and inflation has become more unpredictable. Using a univariate model as a benchmark, we evaluate the predictive capacity of certain causal models linked to different inflation theories, such as the Phillips Curve and a monetary VAR. We also analyze the predictive power of models that use factors that combine the overall variability of a large number of business cycle time series as predictors. We compare their relative performance using a set of parametric and non-parametric tests proposed by Diebold and Mariano (1995). Although the univariate model performs best, as the forecast horizon lengthens, multivariate models performance improves. In particular, a monetary VAR performs better than the univariate ARMA model in the case of a one-year horizon. Nevertheless, when tests are calculated to evaluate the statistical significance of differences in the predictive capacity of models, taking a univariate ARMA model as a benchmark, differences are not statistically significant. Finally, estimated models are pooled to forecast inflation. Some of the forecast combinations outperform the best individual forecast over a one-year horizon. Taking into account that a one year-horizon is relevant for economic policy decisions, the possibility of combining both univariate and multivariate models for forecasting purpose is interesting, because it it can also be helpful to answer specific economic policy questions.
    Keywords: C32 ; E31 ; E37 ; ddc:330 ; Argentina ; inflation forecast ; multivariate models ; pooling ; univariate models ; Inflation ; Prognose ; Argentinien
    Repository Name: EconStor: OA server of the German National Library of Economics - Leibniz Information Centre for Economics
    Language: Spanish
    Type: doc-type:workingPaper
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