Default and devaluation risks in Argentina: long-run and exogeneity in different systems

This study analyses the effect of devaluation risk on the default risk of Argentina, a critical question for the “dollarization debate”. The integrated nature of both series is taken into account to analyse the long run relationship and to evaluate “weak exogeneity” using a “cointegrating vector” sy...

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Detalles Bibliográficos
Autores principales: Ahumada, Hildegart, Garegnani, María Lorena
Formato: Objeto de conferencia
Lenguaje:Inglés
Publicado: 2000
Materias:
Ciencias Económicas
devaluation risk
default risk
Acceso en línea:http://sedici.unlp.edu.ar/handle/10915/170381
Aporte de:
SEDICI (UNLP) de Universidad Nacional de La Plata
id I19-R120-10915-170381
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spelling I19-R120-10915-1703812024-09-19T20:10:22Z http://sedici.unlp.edu.ar/handle/10915/170381 Default and devaluation risks in Argentina: long-run and exogeneity in different systems Ahumada, Hildegart Garegnani, María Lorena 2000 2000 2024-09-19T17:31:38Z en Ciencias Económicas devaluation risk default risk This study analyses the effect of devaluation risk on the default risk of Argentina, a critical question for the “dollarization debate”. The integrated nature of both series is taken into account to analyse the long run relationship and to evaluate “weak exogeneity” using a “cointegrating vector” system approach. First a bivariate system is considered and then the default risk in the region and indicators of macroeconomic performance are included. The results show that only devaluation risk adjusts to reach the equilibrium with the default risk. Once this risk is free from the effect of Latin American default risk, the solvency of the government (measured as the ratio of government debt to GDP) is the only factor that can be detected in the long run. Conclusions about weak exogeneity do not change when the information set is expanded. Facultad de Ciencias Económicas Objeto de conferencia Objeto de conferencia http://creativecommons.org/licenses/by-nc-sa/4.0/ Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International (CC BY-NC-SA 4.0) application/pdf
institution Universidad Nacional de La Plata
institution_str I-19
repository_str R-120
collection SEDICI (UNLP)
language Inglés
topic Ciencias Económicas
devaluation risk
default risk
spellingShingle Ciencias Económicas
devaluation risk
default risk
Ahumada, Hildegart
Garegnani, María Lorena
Default and devaluation risks in Argentina: long-run and exogeneity in different systems
topic_facet Ciencias Económicas
devaluation risk
default risk
description This study analyses the effect of devaluation risk on the default risk of Argentina, a critical question for the “dollarization debate”. The integrated nature of both series is taken into account to analyse the long run relationship and to evaluate “weak exogeneity” using a “cointegrating vector” system approach. First a bivariate system is considered and then the default risk in the region and indicators of macroeconomic performance are included. The results show that only devaluation risk adjusts to reach the equilibrium with the default risk. Once this risk is free from the effect of Latin American default risk, the solvency of the government (measured as the ratio of government debt to GDP) is the only factor that can be detected in the long run. Conclusions about weak exogeneity do not change when the information set is expanded.
format Objeto de conferencia
Objeto de conferencia
author Ahumada, Hildegart
Garegnani, María Lorena
author_facet Ahumada, Hildegart
Garegnani, María Lorena
author_sort Ahumada, Hildegart
title Default and devaluation risks in Argentina: long-run and exogeneity in different systems
title_short Default and devaluation risks in Argentina: long-run and exogeneity in different systems
title_full Default and devaluation risks in Argentina: long-run and exogeneity in different systems
title_fullStr Default and devaluation risks in Argentina: long-run and exogeneity in different systems
title_full_unstemmed Default and devaluation risks in Argentina: long-run and exogeneity in different systems
title_sort default and devaluation risks in argentina: long-run and exogeneity in different systems
publishDate 2000
url http://sedici.unlp.edu.ar/handle/10915/170381
work_keys_str_mv AT ahumadahildegart defaultanddevaluationrisksinargentinalongrunandexogeneityindifferentsystems
AT garegnanimarialorena defaultanddevaluationrisksinargentinalongrunandexogeneityindifferentsystems
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