Assessing the short and medium term response of monetary shocks in Argentina

Autores
Descalzi, Ricardo L.; Neder, Ángel Enrique
Año de publicación
2016
Idioma
inglés
Tipo de recurso
documento de conferencia
Estado
versión publicada
Descripción
Fil: Descalzi, Ricardo L. Universidad Nacional de Córdoba. Facultad de Ciencias Económicas; Argentina.
Fil: Neder, Ángel Enrique. Universidad Nacional de Córdoba. Facultad de Ciencias Económicas; Argentina.
Monetary shocks generated by a monetary authority financing fiscal deficits cause a number of impacts on various economic variables, particularly on exchange and inflation rate. And while inflation is not an aspect which constitutes a serious concern in the world, it really is in Argentina, primarily from 2006 when the country returned to experiencing high rates of price changes. This was what led us to find the determinants of inflation in the long run (see Descalzi and Neder, 2015). Assessing the assumptions related to a cash-in-advance model for a small open economy with seigniorage and following McCandless (2008), we found a long run relationship between inflation, money issuing, nominal exchange rate and fiscal deficit, meaning that inflation, nominal exchange rate and the government imbalances are driven by the same trend. In this paper, being more interested in short run, we deepen the understanding on the inflationary process in Argentina during the period Q1 2004- Q2 2015 by adjusting the impulse response functions to evaluate the time along which the inflation rate attains its steady-state level after a monetary shock occurs. We use quarterly data.
Este trabajo analiza el comportamiento de una economía pequeña y abierta tomando como base un modelo "cash-In-Advance" con Señoreaje. La hipótesis planteada es que las autoridades económicas tienden a financiar déficits fiscales mediante la emisión de dinero, lo que genera inflación y una caída del tipo de cambio real. Utilizando datos trimestrales para el período 2004-2015 calculamos las funciones impulso-respuesta para evaluar el número de períodos que tardan las principales variables económicas alcanzar su nuevo nivel de estado estacionario.
https://aaep.org.ar/anales/works/works2016/descalzi.pdf
Fil: Descalzi, Ricardo L. Universidad Nacional de Córdoba. Facultad de Ciencias Económicas; Argentina.
Fil: Neder, Ángel Enrique. Universidad Nacional de Córdoba. Facultad de Ciencias Económicas; Argentina.
Economía, Econometría
Materia
Seigniorage
Fiscal deficit
Real exchange rate
Impulse-response functions
Nivel de accesibilidad
acceso abierto
Condiciones de uso
Repositorio
Repositorio Digital Universitario (UNC)
Institución
Universidad Nacional de Córdoba
OAI Identificador
oai:rdu.unc.edu.ar:11086/22938

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oai_identifier_str oai:rdu.unc.edu.ar:11086/22938
network_acronym_str RDUUNC
repository_id_str 2572
network_name_str Repositorio Digital Universitario (UNC)
spelling Assessing the short and medium term response of monetary shocks in ArgentinaDescalzi, Ricardo L.Neder, Ángel EnriqueSeigniorageFiscal deficitReal exchange rateImpulse-response functionsFil: Descalzi, Ricardo L. Universidad Nacional de Córdoba. Facultad de Ciencias Económicas; Argentina.Fil: Neder, Ángel Enrique. Universidad Nacional de Córdoba. Facultad de Ciencias Económicas; Argentina.Monetary shocks generated by a monetary authority financing fiscal deficits cause a number of impacts on various economic variables, particularly on exchange and inflation rate. And while inflation is not an aspect which constitutes a serious concern in the world, it really is in Argentina, primarily from 2006 when the country returned to experiencing high rates of price changes. This was what led us to find the determinants of inflation in the long run (see Descalzi and Neder, 2015). Assessing the assumptions related to a cash-in-advance model for a small open economy with seigniorage and following McCandless (2008), we found a long run relationship between inflation, money issuing, nominal exchange rate and fiscal deficit, meaning that inflation, nominal exchange rate and the government imbalances are driven by the same trend. In this paper, being more interested in short run, we deepen the understanding on the inflationary process in Argentina during the period Q1 2004- Q2 2015 by adjusting the impulse response functions to evaluate the time along which the inflation rate attains its steady-state level after a monetary shock occurs. We use quarterly data.Este trabajo analiza el comportamiento de una economía pequeña y abierta tomando como base un modelo "cash-In-Advance" con Señoreaje. La hipótesis planteada es que las autoridades económicas tienden a financiar déficits fiscales mediante la emisión de dinero, lo que genera inflación y una caída del tipo de cambio real. Utilizando datos trimestrales para el período 2004-2015 calculamos las funciones impulso-respuesta para evaluar el número de períodos que tardan las principales variables económicas alcanzar su nuevo nivel de estado estacionario.https://aaep.org.ar/anales/works/works2016/descalzi.pdfFil: Descalzi, Ricardo L. Universidad Nacional de Córdoba. Facultad de Ciencias Económicas; Argentina.Fil: Neder, Ángel Enrique. Universidad Nacional de Córdoba. Facultad de Ciencias Económicas; Argentina.Economía, EconometríaAsociación Argentina de Economía Política2016-11info:eu-repo/semantics/conferenceObjectinfo:eu-repo/semantics/publishedVersionhttp://purl.org/coar/resource_type/c_5794info:ar-repo/semantics/documentoDeConferenciaapplication/pdf1852-0022http://hdl.handle.net/11086/22938enginfo:eu-repo/semantics/openAccessreponame:Repositorio Digital Universitario (UNC)instname:Universidad Nacional de Córdobainstacron:UNC2025-09-29T13:43:23Zoai:rdu.unc.edu.ar:11086/22938Institucionalhttps://rdu.unc.edu.ar/Universidad públicaNo correspondehttp://rdu.unc.edu.ar/oai/snrdoca.unc@gmail.comArgentinaNo correspondeNo correspondeNo correspondeopendoar:25722025-09-29 13:43:23.454Repositorio Digital Universitario (UNC) - Universidad Nacional de Córdobafalse
dc.title.none.fl_str_mv Assessing the short and medium term response of monetary shocks in Argentina
title Assessing the short and medium term response of monetary shocks in Argentina
spellingShingle Assessing the short and medium term response of monetary shocks in Argentina
Descalzi, Ricardo L.
Seigniorage
Fiscal deficit
Real exchange rate
Impulse-response functions
title_short Assessing the short and medium term response of monetary shocks in Argentina
title_full Assessing the short and medium term response of monetary shocks in Argentina
title_fullStr Assessing the short and medium term response of monetary shocks in Argentina
title_full_unstemmed Assessing the short and medium term response of monetary shocks in Argentina
title_sort Assessing the short and medium term response of monetary shocks in Argentina
dc.creator.none.fl_str_mv Descalzi, Ricardo L.
Neder, Ángel Enrique
author Descalzi, Ricardo L.
author_facet Descalzi, Ricardo L.
Neder, Ángel Enrique
author_role author
author2 Neder, Ángel Enrique
author2_role author
dc.subject.none.fl_str_mv Seigniorage
Fiscal deficit
Real exchange rate
Impulse-response functions
topic Seigniorage
Fiscal deficit
Real exchange rate
Impulse-response functions
dc.description.none.fl_txt_mv Fil: Descalzi, Ricardo L. Universidad Nacional de Córdoba. Facultad de Ciencias Económicas; Argentina.
Fil: Neder, Ángel Enrique. Universidad Nacional de Córdoba. Facultad de Ciencias Económicas; Argentina.
Monetary shocks generated by a monetary authority financing fiscal deficits cause a number of impacts on various economic variables, particularly on exchange and inflation rate. And while inflation is not an aspect which constitutes a serious concern in the world, it really is in Argentina, primarily from 2006 when the country returned to experiencing high rates of price changes. This was what led us to find the determinants of inflation in the long run (see Descalzi and Neder, 2015). Assessing the assumptions related to a cash-in-advance model for a small open economy with seigniorage and following McCandless (2008), we found a long run relationship between inflation, money issuing, nominal exchange rate and fiscal deficit, meaning that inflation, nominal exchange rate and the government imbalances are driven by the same trend. In this paper, being more interested in short run, we deepen the understanding on the inflationary process in Argentina during the period Q1 2004- Q2 2015 by adjusting the impulse response functions to evaluate the time along which the inflation rate attains its steady-state level after a monetary shock occurs. We use quarterly data.
Este trabajo analiza el comportamiento de una economía pequeña y abierta tomando como base un modelo "cash-In-Advance" con Señoreaje. La hipótesis planteada es que las autoridades económicas tienden a financiar déficits fiscales mediante la emisión de dinero, lo que genera inflación y una caída del tipo de cambio real. Utilizando datos trimestrales para el período 2004-2015 calculamos las funciones impulso-respuesta para evaluar el número de períodos que tardan las principales variables económicas alcanzar su nuevo nivel de estado estacionario.
https://aaep.org.ar/anales/works/works2016/descalzi.pdf
Fil: Descalzi, Ricardo L. Universidad Nacional de Córdoba. Facultad de Ciencias Económicas; Argentina.
Fil: Neder, Ángel Enrique. Universidad Nacional de Córdoba. Facultad de Ciencias Económicas; Argentina.
Economía, Econometría
description Fil: Descalzi, Ricardo L. Universidad Nacional de Córdoba. Facultad de Ciencias Económicas; Argentina.
publishDate 2016
dc.date.none.fl_str_mv 2016-11
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dc.identifier.none.fl_str_mv 1852-0022
http://hdl.handle.net/11086/22938
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dc.publisher.none.fl_str_mv Asociación Argentina de Economía Política
publisher.none.fl_str_mv Asociación Argentina de Economía Política
dc.source.none.fl_str_mv reponame:Repositorio Digital Universitario (UNC)
instname:Universidad Nacional de Córdoba
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reponame_str Repositorio Digital Universitario (UNC)
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instname_str Universidad Nacional de Córdoba
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institution UNC
repository.name.fl_str_mv Repositorio Digital Universitario (UNC) - Universidad Nacional de Córdoba
repository.mail.fl_str_mv oca.unc@gmail.com
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