When are devaluations more contractionary? A Quantile VAR estimation for Argentina
This paper presents empirical evidence on the short- and medium-run contractionary effects of exchange rate shocks and currency devaluations for bimonetary (i. e., highly dollarized) countries. In particular, for Argentina for the period January 2004-December 2018. Using a VAR representation with qu...
| Autores: | , |
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| Tipo de recurso: | artículo |
| Estado: | Versión publicada |
| Fecha de publicación: | 2022 |
| País: | Argentina |
| Institución: | Consejo Nacional de Investigaciones Científicas y Técnicas |
| Repositorio: | CONICET Digital (CONICET) |
| Idioma: | inglés |
| OAI Identifier: | oai:ri.conicet.gov.ar:11336/204657 |
| Acceso en línea: | http://hdl.handle.net/11336/204657 |
| Access Level: | acceso abierto |
| Palabra clave: | IMPULSE-RESPONSE FUNCTIONS VECTOR AUTOREGRESSIVE MODELS MULTIVARIATE QUANTILES EXCHANGE RATE PASS-THROUGH RECESSION https://purl.org/becyt/ford/5.2 https://purl.org/becyt/ford/5 |
| Sumario: | This paper presents empirical evidence on the short- and medium-run contractionary effects of exchange rate shocks and currency devaluations for bimonetary (i. e., highly dollarized) countries. In particular, for Argentina for the period January 2004-December 2018. Using a VAR representation with quantile heterogeneity, it implements a multivariate model with four macroeconomic variables: exchange rate variations, inflation, economic activity and nominal wage growth. The empirical results show a 30% price pass-through effects and a bimodal effect on output, with both positive and negative effects. Wages adjust less than prices with the consequent effect that real wages have a negative elasticity of 0.23 with respect to exchange rate shocks. Further analysis on the multivariate responses show that the negative effect on output is associated with a decline in real wages: a 1% fall in real wages after a currency devaluation produces a 2.3% decline in output. |
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