http://sedici.unlp.edu.ar:80/handle/10915/33541 Sun, 08 Nov 2026 15:35:44 GMT 2026-11-08T15:35:44Z http://sedici.unlp.edu.ar:80/handle/10915/3788 Objeto de conferencia VII Jornadas de Economía Monetaria e Internacional (La Plata, 2002) 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 depende del nivel de reservas del banco central y del déficit fiscal y que predicen que una política monetaria expansiva genera un incremento en las tasas de interés domésticas (por mayor riesgo país), una caída en el producto y una caída en la cantidad endógena de dinero. Tue, 01 Jan 2002 00:00:00 GMT http://sedici.unlp.edu.ar:80/handle/10915/3788 2002-01-01T00:00:00Z 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 depende del nivel de reservas del banco central y del déficit fiscal y que predicen que una política monetaria expansiva genera un incremento en las tasas de interés domésticas (por mayor riesgo país), una caída en el producto y una caída en la cantidad endógena de dinero. http://sedici.unlp.edu.ar:80/handle/10915/3787 Objeto de conferencia VII Jornadas de Economía Monetaria e Internacional (La Plata, 2002) 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. El objetivo del presente trabajo es someter a prueba tal hipótesis para el caso colombiano pero en el siguiente sentido específico: lo que determina el nivel de precios es el juicio de los agentes económicos sobre la magnitud y la evolución de los componentes permanentes del dinero nominal y del producto real, entendidos éstos como los valores actuales esperados de sus trayectorias futuras, y que los factores juzgados como transitorios carecen de importancia para la determinación de dicho nivel. Tue, 01 Jan 2002 00:00:00 GMT http://sedici.unlp.edu.ar:80/handle/10915/3787 2002-01-01T00:00:00Z 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. El objetivo del presente trabajo es someter a prueba tal hipótesis para el caso colombiano pero en el siguiente sentido específico: lo que determina el nivel de precios es el juicio de los agentes económicos sobre la magnitud y la evolución de los componentes permanentes del dinero nominal y del producto real, entendidos éstos como los valores actuales esperados de sus trayectorias futuras, y que los factores juzgados como transitorios carecen de importancia para la determinación de dicho nivel. http://sedici.unlp.edu.ar:80/handle/10915/3786 Objeto de conferencia VII Jornadas de Economía Monetaria e Internacional (La Plata, 2002) 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. Tue, 01 Jan 2002 00:00:00 GMT http://sedici.unlp.edu.ar:80/handle/10915/3786 2002-01-01T00:00:00Z 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. http://sedici.unlp.edu.ar:80/handle/10915/3785 Objeto de conferencia VII Jornadas de Economía Monetaria e Internacional (La Plata, 2002) 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 banks to hold a more liquid portfolio, which decreases total investment and thereby reduces capital formation. Hence the economy grows slower, even when a run does not occur. Under the second selection rule, the probability of a run is influenced by the bank's portfolio choice. This leads banks to place more resources in long-term investment, and the economy both grows faster and experiences fewer runs. Tue, 01 Jan 2002 00:00:00 GMT http://sedici.unlp.edu.ar:80/handle/10915/3785 2002-01-01T00:00:00Z 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 banks to hold a more liquid portfolio, which decreases total investment and thereby reduces capital formation. Hence the economy grows slower, even when a run does not occur. Under the second selection rule, the probability of a run is influenced by the bank's portfolio choice. This leads banks to place more resources in long-term investment, and the economy both grows faster and experiences fewer runs. http://sedici.unlp.edu.ar:80/handle/10915/3784 Objeto de conferencia VII Jornadas de Economía Monetaria e Internacional (La Plata, 2002) 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 with respect to short-term projects.) Using sovereign bond data from five Emerging Markets, we estimate a simple model that captures most of the variation of default probabilities at different horizons for a given country at one point in time. This model can be used to solve the misestimation problem. Tue, 01 Jan 2002 00:00:00 GMT http://sedici.unlp.edu.ar:80/handle/10915/3784 2002-01-01T00:00:00Z 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 with respect to short-term projects.) Using sovereign bond data from five Emerging Markets, we estimate a simple model that captures most of the variation of default probabilities at different horizons for a given country at one point in time. This model can be used to solve the misestimation problem. http://sedici.unlp.edu.ar:80/handle/10915/3783 Objeto de conferencia VII Jornadas de Economía Monetaria e Internacional (La Plata, 2002) 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 is greater in labor intensive sectors. Empirical evidence is presented to support such implications of the model. The asymmetry of wage adjustments imply that aggregate employment responds more to shocks in capital-intensive industries and that procyclical wage differentials can only result from asymmetric disturbances. Tue, 01 Jan 2002 00:00:00 GMT http://sedici.unlp.edu.ar:80/handle/10915/3783 2002-01-01T00:00:00Z 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 is greater in labor intensive sectors. Empirical evidence is presented to support such implications of the model. The asymmetry of wage adjustments imply that aggregate employment responds more to shocks in capital-intensive industries and that procyclical wage differentials can only result from asymmetric disturbances. http://sedici.unlp.edu.ar:80/handle/10915/3782 Objeto de conferencia VII Jornadas de Economía Monetaria e Internacional (La Plata, 2002) 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. The IMF is more a Fire Department than a Central Bank. Liquidity is sprayed where fire is found, not on the whole system like a Central Bank does when there is a liquidity crisis. Tue, 01 Jan 2002 00:00:00 GMT http://sedici.unlp.edu.ar:80/handle/10915/3782 2002-01-01T00:00:00Z 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. The IMF is more a Fire Department than a Central Bank. Liquidity is sprayed where fire is found, not on the whole system like a Central Bank does when there is a liquidity crisis. http://sedici.unlp.edu.ar:80/handle/10915/3725 Objeto de conferencia VII Jornadas de Economía Monetaria e Internacional (La Plata, 2002) 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 credit is measured using overdrafts, the most expensive line of credit, at the bank that charges the highest rate for overdrafts. We find that the cost of credit is smaller for a firm with a close relationship to the marginal bank. Firms with large assets, a high sales/assets ratio, and a low debt/assets ratio pay a lower interest rate at the margin. A good credit history (no debt arrears and no bounced checks) and collateral also reduce the marginal interest rate. The availability of credit is measured by unused credit lines as a proportion of total liabilities with the main bank. The availability of credit depends positively on a close relationship with the main bank. Large assets, a high return over assets, a high sales/assets ratio, a low debt/assets ratio, a good credit history, and collateral lead to higher credit availability. Our measure of unused credit lines is less ambiguous than traditional measures like leverage, which may indicate financial distress rather than availability of credit. Tue, 01 Jan 2002 00:00:00 GMT http://sedici.unlp.edu.ar:80/handle/10915/3725 2002-01-01T00:00:00Z 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 credit is measured using overdrafts, the most expensive line of credit, at the bank that charges the highest rate for overdrafts. We find that the cost of credit is smaller for a firm with a close relationship to the marginal bank. Firms with large assets, a high sales/assets ratio, and a low debt/assets ratio pay a lower interest rate at the margin. A good credit history (no debt arrears and no bounced checks) and collateral also reduce the marginal interest rate. The availability of credit is measured by unused credit lines as a proportion of total liabilities with the main bank. The availability of credit depends positively on a close relationship with the main bank. Large assets, a high return over assets, a high sales/assets ratio, a low debt/assets ratio, a good credit history, and collateral lead to higher credit availability. Our measure of unused credit lines is less ambiguous than traditional measures like leverage, which may indicate financial distress rather than availability of credit. http://sedici.unlp.edu.ar:80/handle/10915/3724 Objeto de conferencia VII Jornadas de Economía Monetaria e Internacional (La Plata, 2002) 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 inflation tax and for measuring the size of the shadow economy. Besides, a comparative analysis of the effect of inflation, interest rates and exchange rates could clarify about the relevant opportunity cost of holding money. Once two values of the transaction elasticity were taken for the long run relationship (1 and 0.5) and inflation and interest rates alternatively measured the opportunity cost of holding money, a stable money demand -a satisfactory approximation to the data generating process- was obtained for the Argentina case. Tue, 01 Jan 2002 00:00:00 GMT http://sedici.unlp.edu.ar:80/handle/10915/3724 2002-01-01T00:00:00Z 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 inflation tax and for measuring the size of the shadow economy. Besides, a comparative analysis of the effect of inflation, interest rates and exchange rates could clarify about the relevant opportunity cost of holding money. Once two values of the transaction elasticity were taken for the long run relationship (1 and 0.5) and inflation and interest rates alternatively measured the opportunity cost of holding money, a stable money demand -a satisfactory approximation to the data generating process- was obtained for the Argentina case.