http://sedici.unlp.edu.ar:80/handle/10915/33892 Sat, 07 Nov 2026 22:28:13 GMT 2026-11-07T22:28:13Z http://sedici.unlp.edu.ar:80/handle/10915/3781 Objeto de conferencia VI Jornadas de Economía Monetaria e Internacional (La Plata, 2001) This paper studies the interest-rate-driven business cycles of a small open economy (SOE). For than end a costly operated banking system is added to the standard real-business-cycles model. Banks are the only domestic agents considered worthy of credit in international capital markets. They borrow from the rest of the world and lend domestically in a competitive credit market. Existent quantitative models of business cycles in SOE's indicate that interest-rate shocks are unable to cast the kind of output variability produced by productivity or terms-of-trade shocks. Contrary to this finding, it seems that the macroeconomic performances of several SOE's are tightly related to international interest rates and capital flows. Neumeyer and Perri (1999) points out that the introduction of working capital needs may close the gap between the standard model's predictions and the observed consequences of interest-rate shocks. This paper shows that a more careful analysis of the microfoundations of working capital may give rise to an intermediate position where working capital matters in explaining output fluctuations, but not as much as Neumayer and Perri suggest. For that end, the model is calibrated to the Argentinean economy. Mon, 01 Jan 2001 00:00:00 GMT http://sedici.unlp.edu.ar:80/handle/10915/3781 2001-01-01T00:00:00Z This paper studies the interest-rate-driven business cycles of a small open economy (SOE). For than end a costly operated banking system is added to the standard real-business-cycles model. Banks are the only domestic agents considered worthy of credit in international capital markets. They borrow from the rest of the world and lend domestically in a competitive credit market. Existent quantitative models of business cycles in SOE's indicate that interest-rate shocks are unable to cast the kind of output variability produced by productivity or terms-of-trade shocks. Contrary to this finding, it seems that the macroeconomic performances of several SOE's are tightly related to international interest rates and capital flows. Neumeyer and Perri (1999) points out that the introduction of working capital needs may close the gap between the standard model's predictions and the observed consequences of interest-rate shocks. This paper shows that a more careful analysis of the microfoundations of working capital may give rise to an intermediate position where working capital matters in explaining output fluctuations, but not as much as Neumayer and Perri suggest. For that end, the model is calibrated to the Argentinean economy. http://sedici.unlp.edu.ar:80/handle/10915/3780 Objeto de conferencia VI Jornadas de Economía Monetaria e Internacional (La Plata, 2001) América Latina ha participado de manera importante en la expansión del mercado de obligaciones en euros. Este fenómeno constituye una faceta del proceso de intensificación de las relaciones financieras entre Europa y América Latina (caracterizado también por el auge de las inversiones extranjeras directas de origen europeo y por la creciente implantación de los bancos europeos en América Latina), claramente perceptible desde los años 90. Las implicaciones de este proceso a mediano y largo plazo son numerosas. En este trabajo se tratará principalmente uno de los aspectos menos abordados hasta el presente : las repercusiones en los regímenes cambiarios de América Latina. Esto supone considerar las perspectivas de la divisa europea a nivel de la función de unidad de cuenta. Esta función no se limita a la “tarificación” del comercio internacional; ella también tiene que ver con el uso de las monedas internacionales como anclas para la política monetaria y cambiaria (Bénassy–Quéré y Cœuré, 2000). A partir del análisis de las condiciones de generalización del uso del euro como moneda de anclaje única o en el marco de canastas de monedas, se examinarán las perspectivas de los países latinoamericanos en este plano. El trabajo está organizado en tres partes. En la primera se evalúan en términos generales los primeros pasos del euro y su potencial de internacionalización, con el fin de formular hipótesis sobre los escenarios previsibles a nivel de la evolución del SMI. En la segunda se profundiza el análisis de los factores que incidirán en la internacionalización de la divisa europea y se aborda la cuestión de los efectos del euro en las relaciones eurolatinoamericanas, poniendo énfasis en la dimensión financiera. En la tercera parte se estudian, a partir de un análisis econométrico realizado para 93 economías, los determinantes reales y financieros de las opciones adoptadas por los países en desarrollo en materia de anclaje de facto y se exploran de modo prospectivo los canales de generalización de la utilización del euro como ancla monetaria en América Latina. En la conclusión se resumen los principales resultados de este estudio. Mon, 01 Jan 2001 00:00:00 GMT http://sedici.unlp.edu.ar:80/handle/10915/3780 2001-01-01T00:00:00Z América Latina ha participado de manera importante en la expansión del mercado de obligaciones en euros. Este fenómeno constituye una faceta del proceso de intensificación de las relaciones financieras entre Europa y América Latina (caracterizado también por el auge de las inversiones extranjeras directas de origen europeo y por la creciente implantación de los bancos europeos en América Latina), claramente perceptible desde los años 90. Las implicaciones de este proceso a mediano y largo plazo son numerosas. En este trabajo se tratará principalmente uno de los aspectos menos abordados hasta el presente : las repercusiones en los regímenes cambiarios de América Latina. Esto supone considerar las perspectivas de la divisa europea a nivel de la función de unidad de cuenta. Esta función no se limita a la “tarificación” del comercio internacional; ella también tiene que ver con el uso de las monedas internacionales como anclas para la política monetaria y cambiaria (Bénassy–Quéré y Cœuré, 2000). A partir del análisis de las condiciones de generalización del uso del euro como moneda de anclaje única o en el marco de canastas de monedas, se examinarán las perspectivas de los países latinoamericanos en este plano. El trabajo está organizado en tres partes. En la primera se evalúan en términos generales los primeros pasos del euro y su potencial de internacionalización, con el fin de formular hipótesis sobre los escenarios previsibles a nivel de la evolución del SMI. En la segunda se profundiza el análisis de los factores que incidirán en la internacionalización de la divisa europea y se aborda la cuestión de los efectos del euro en las relaciones eurolatinoamericanas, poniendo énfasis en la dimensión financiera. En la tercera parte se estudian, a partir de un análisis econométrico realizado para 93 economías, los determinantes reales y financieros de las opciones adoptadas por los países en desarrollo en materia de anclaje de facto y se exploran de modo prospectivo los canales de generalización de la utilización del euro como ancla monetaria en América Latina. En la conclusión se resumen los principales resultados de este estudio. http://sedici.unlp.edu.ar:80/handle/10915/3779 Objeto de conferencia VI Jornadas de Economía Monetaria e Internacional (La Plata, 2001) The 1990s emerging-markets crises were characterized by sudden reversals in inflows of foreign capital followed by unusually large declines in current account deficits, private expenditures, production, and prices of nontradable goods relative to tradables. This paper shows that these Sudden Stops can be the outcome of the equilibrium dynamics of a flexible-price economy with imperfect credit markets. Foreign debt is denominated in units of tradables and a liquidity constraint links credit-market access to the income generated in the nontradables sector and the relative price of nontradables. Sudden Stops occur when real shocks of foreign or domestic origin, or policy-induced shocks make this constraint binding. Sudden Stops are not reflected in long-run business cycle statistics but still they entail nontrivial welfare costs. These results question crises-management policies seeking to impose direct controls on private capital flows and favor those that work to weaken credit frictions. Mon, 01 Jan 2001 00:00:00 GMT http://sedici.unlp.edu.ar:80/handle/10915/3779 2001-01-01T00:00:00Z The 1990s emerging-markets crises were characterized by sudden reversals in inflows of foreign capital followed by unusually large declines in current account deficits, private expenditures, production, and prices of nontradable goods relative to tradables. This paper shows that these Sudden Stops can be the outcome of the equilibrium dynamics of a flexible-price economy with imperfect credit markets. Foreign debt is denominated in units of tradables and a liquidity constraint links credit-market access to the income generated in the nontradables sector and the relative price of nontradables. Sudden Stops occur when real shocks of foreign or domestic origin, or policy-induced shocks make this constraint binding. Sudden Stops are not reflected in long-run business cycle statistics but still they entail nontrivial welfare costs. These results question crises-management policies seeking to impose direct controls on private capital flows and favor those that work to weaken credit frictions. http://sedici.unlp.edu.ar:80/handle/10915/3778 Objeto de conferencia VI Jornadas de Economía Monetaria e Internacional (La Plata, 2001) We study the relationship between exchange rate regimes and economic growth for a sample of 154 countries over the post-Bretton Woods period (1974-1999), using a new de facto classification of regimes based on the actual behavior of the relevant macroeconomic variables. In contrast with previous studies, we find that, for developing countries, less flexible exchange rate regimes are strongly associated with slower growth, as well as with greater output volatility. For industrial countries, on the contrary, regimes do not appear to have any significant impact on growth. The results are robust to endogeneity corrections and a number of alternative specifications borrowed from the growth literature. Mon, 01 Jan 2001 00:00:00 GMT http://sedici.unlp.edu.ar:80/handle/10915/3778 2001-01-01T00:00:00Z We study the relationship between exchange rate regimes and economic growth for a sample of 154 countries over the post-Bretton Woods period (1974-1999), using a new de facto classification of regimes based on the actual behavior of the relevant macroeconomic variables. In contrast with previous studies, we find that, for developing countries, less flexible exchange rate regimes are strongly associated with slower growth, as well as with greater output volatility. For industrial countries, on the contrary, regimes do not appear to have any significant impact on growth. The results are robust to endogeneity corrections and a number of alternative specifications borrowed from the growth literature. http://sedici.unlp.edu.ar:80/handle/10915/3663 Objeto de conferencia VI Jornadas de Economía Monetaria e Internacional (La Plata, 2001) The 1980s have been dubbed the “lost decade” in Latin America because during those harsh ten years GDP per capita declined in that region at an average annual rate of 1.5%, in contrast with the 2.3% and 1.8% increases of the immediately preceding and immediately following decades, respectively. Chart 1 shows not only that Argentina did not escape that general trend, but also that the decline had started much earlier, in the mid 1970s. If the size of a downturn is measured as the percentage change from the highest GDP per capita after the last time that variable was below trend to the lowest GDP per capita before the first time that variable was above trend again, then the 1974-90 decline was not only rather pronounced, about 20%, but also the longest in Argentina’s recorded history. It is true that the decline from 1974 to 1979 could be dismissed as a simple “reversion to the mean” phenomenon. But this observation does not take away the fact that per capita GDP was still 20% below trend in 1990. Not even during the worse years of the Great Depression had Argentina experienced such a large decline relative to trend. Should this lost decade decline be regarded as a “depression” or simply as a “long and severe recession”? The paper will not attempt to resolve this issue. Rather, its goal is the more modest one of presenting the evidence for Argentina’s lost decade within the neoclassical growth model framework, in the hope to sort out the anomalies and regularities that future research will need to address in the process of answering that question. Mon, 01 Jan 2001 00:00:00 GMT http://sedici.unlp.edu.ar:80/handle/10915/3663 2001-01-01T00:00:00Z The 1980s have been dubbed the “lost decade” in Latin America because during those harsh ten years GDP per capita declined in that region at an average annual rate of 1.5%, in contrast with the 2.3% and 1.8% increases of the immediately preceding and immediately following decades, respectively. Chart 1 shows not only that Argentina did not escape that general trend, but also that the decline had started much earlier, in the mid 1970s. If the size of a downturn is measured as the percentage change from the highest GDP per capita after the last time that variable was below trend to the lowest GDP per capita before the first time that variable was above trend again, then the 1974-90 decline was not only rather pronounced, about 20%, but also the longest in Argentina’s recorded history. It is true that the decline from 1974 to 1979 could be dismissed as a simple “reversion to the mean” phenomenon. But this observation does not take away the fact that per capita GDP was still 20% below trend in 1990. Not even during the worse years of the Great Depression had Argentina experienced such a large decline relative to trend. Should this lost decade decline be regarded as a “depression” or simply as a “long and severe recession”? The paper will not attempt to resolve this issue. Rather, its goal is the more modest one of presenting the evidence for Argentina’s lost decade within the neoclassical growth model framework, in the hope to sort out the anomalies and regularities that future research will need to address in the process of answering that question. http://sedici.unlp.edu.ar:80/handle/10915/3777 Objeto de conferencia VI Jornadas de Economía Monetaria e Internacional (La Plata, 2001) Este artigo defende a proposta de que o Brasil deveria seguir outros países e adotar uma regra fiscal, mediante a exigência de um superávit primário do Governo Central de pelo menos 1,5 % do PIB. Essa regra contribuiria para dar um caráter duradouro às mudanças recentes apresentadas pelo país no que se refere às contas públicas, reforçando a melhora institucional representado pela Lei de Responsabilidade Fiscal. A exigência é consistente com um superávit primário do setor público da ordem de 2,0 % do PIB.; This paper defends the idea that Brazil should follow other countries and adopt a fiscal rule requiring a primary surplus of the Central Government of at least 1,5 % of GDP. This rule would help to conserve the recent changes shown by the country concerning the public accounts. This would strenghten the institutional improvement represented by the Fiscal Responsibility Law. The requirement is consistent with a primary surplus of public sector of around 2,0 % of GDP. Mon, 01 Jan 2001 00:00:00 GMT http://sedici.unlp.edu.ar:80/handle/10915/3777 2001-01-01T00:00:00Z Este artigo defende a proposta de que o Brasil deveria seguir outros países e adotar uma regra fiscal, mediante a exigência de um superávit primário do Governo Central de pelo menos 1,5 % do PIB. Essa regra contribuiria para dar um caráter duradouro às mudanças recentes apresentadas pelo país no que se refere às contas públicas, reforçando a melhora institucional representado pela Lei de Responsabilidade Fiscal. A exigência é consistente com um superávit primário do setor público da ordem de 2,0 % do PIB. This paper defends the idea that Brazil should follow other countries and adopt a fiscal rule requiring a primary surplus of the Central Government of at least 1,5 % of GDP. This rule would help to conserve the recent changes shown by the country concerning the public accounts. This would strenghten the institutional improvement represented by the Fiscal Responsibility Law. The requirement is consistent with a primary surplus of public sector of around 2,0 % of GDP. http://sedici.unlp.edu.ar:80/handle/10915/3776 Objeto de conferencia VI Jornadas de Economía Monetaria e Internacional (La Plata, 2001) We develop a model in which the elasticity of credit to exogenous shocks depends on creditor rights regulations. We show that an increase in creditor protection reduces the elasticity of credit supply to exogenous shocks, and hence the amplitude of the credit cycle. Using an extended set of a measure of creditor rights protection in the spirit of La Porta et al. (1998), we find that stricter creditor rights regulations not only increase the breadth of the credit market but also reduce the volatility of the credit cycle. Mon, 01 Jan 2001 00:00:00 GMT http://sedici.unlp.edu.ar:80/handle/10915/3776 2001-01-01T00:00:00Z We develop a model in which the elasticity of credit to exogenous shocks depends on creditor rights regulations. We show that an increase in creditor protection reduces the elasticity of credit supply to exogenous shocks, and hence the amplitude of the credit cycle. Using an extended set of a measure of creditor rights protection in the spirit of La Porta et al. (1998), we find that stricter creditor rights regulations not only increase the breadth of the credit market but also reduce the volatility of the credit cycle. http://sedici.unlp.edu.ar:80/handle/10915/3775 Objeto de conferencia VI Jornadas de Economía Monetaria e Internacional (La Plata, 2001) In this paper we study dollarization as a commitment device that the Central Bank could use to avoid getting involved in an undesirable banking-sector bailout. We show how a political process could induce an equilibrium outcome that differs from the one that a benevolent Central Bank would want to implement. Dollarization then could be used to restore the economy to the benevolent outcome. In so doing though, political support for dollarization becomes essential. For our benchmark case, dollarization does not have enough support to be actually implemented. But when we study the interaction among dollarization, the introduction of international banks, and the political process, we find that bank internationalization may help to attain the necessary political support that can make dollarization a viable policy. Mon, 01 Jan 2001 00:00:00 GMT http://sedici.unlp.edu.ar:80/handle/10915/3775 2001-01-01T00:00:00Z In this paper we study dollarization as a commitment device that the Central Bank could use to avoid getting involved in an undesirable banking-sector bailout. We show how a political process could induce an equilibrium outcome that differs from the one that a benevolent Central Bank would want to implement. Dollarization then could be used to restore the economy to the benevolent outcome. In so doing though, political support for dollarization becomes essential. For our benchmark case, dollarization does not have enough support to be actually implemented. But when we study the interaction among dollarization, the introduction of international banks, and the political process, we find that bank internationalization may help to attain the necessary political support that can make dollarization a viable policy. http://sedici.unlp.edu.ar:80/handle/10915/3774 Objeto de conferencia VI Jornadas de Economía Monetaria e Internacional (La Plata, 2001) This paper discusses dollarization from the perspective of the relation between country and devaluation risk. In the absence of balance sheet effects, we find that a full dollarization of an economy increases its country risk. On the other hand, when balance sheet effects are present, the full dollarization could reduce country risk. The link between these two risks is based on the government's financial needs. In this paper government devalue the currency for fiscal purposes. Consequently, a full dollarization closes this avenue transferring the whole cost to bond holders. This paper stresses the idea that dollarization is at the very end a fiscal issue. Empirically, using the ratio of foreign currency deposit on total deposits as a proxy to the balance sheet effect, the paper tests the importance of this variable on country risk. We find that the balance sheet has a positive effect on country risk, in other words, country with higher balance sheet effect should have higher country risk. Mon, 01 Jan 2001 00:00:00 GMT http://sedici.unlp.edu.ar:80/handle/10915/3774 2001-01-01T00:00:00Z This paper discusses dollarization from the perspective of the relation between country and devaluation risk. In the absence of balance sheet effects, we find that a full dollarization of an economy increases its country risk. On the other hand, when balance sheet effects are present, the full dollarization could reduce country risk. The link between these two risks is based on the government's financial needs. In this paper government devalue the currency for fiscal purposes. Consequently, a full dollarization closes this avenue transferring the whole cost to bond holders. This paper stresses the idea that dollarization is at the very end a fiscal issue. Empirically, using the ratio of foreign currency deposit on total deposits as a proxy to the balance sheet effect, the paper tests the importance of this variable on country risk. We find that the balance sheet has a positive effect on country risk, in other words, country with higher balance sheet effect should have higher country risk. http://sedici.unlp.edu.ar:80/handle/10915/3773 Objeto de conferencia VI Jornadas de Economía Monetaria e Internacional (La Plata, 2001) Over the last decade the Argentine banking industry has been subject to important regulatory changes, increased internationalization and restructuring. The way in which this process has affected the degree of competition is subject to discussion in Argentina, and it has been argued, along the lines of the structure-conduct-performance paradigm (SCP), that increased concentration could have undermined competition in banking markets. But, while acording to the former approach concentration is necessarily related to poor competition, the new industrial organization (NIO) approach, that relies on firms profit maximization behavior, has emphasized the weaknesses of relying on concentration measures to draw conclusions about market structure. This paper evaluates the competitiveness of Argentine banking markets by extending the Conjectural Variations (CV) approach to the case of multiproduct firms. We model Argentine banks as multi-output firmes, operating in two markets: retail and corporate, an adequate classification to describe the characteristics of the Argentine banking system, wher some banks are more retail oriented and have a broad network of branches, mainly offering liquidity services while others have very few branches and are more specialized in giving credit to firms. We measure the degree of market power by estimating a CV model for a panel of banks from 1997 to 1999. Rather than evaluating a specific market structure, a strategy that can lead to undetermined results in the case of multi-output firms, we construct a market power index that varies in a continuum interval. This measure permits to determine the extent to which prices deviate from marginal costs, which is the relevant question from the welfare point of view. We find that for both markets, retail and corporate, are very close to the competitive solution. Finally, these results are confronted with the predictions that could be drawn from concentration measures, according to the SCP approach. Mon, 01 Jan 2001 00:00:00 GMT http://sedici.unlp.edu.ar:80/handle/10915/3773 2001-01-01T00:00:00Z Over the last decade the Argentine banking industry has been subject to important regulatory changes, increased internationalization and restructuring. The way in which this process has affected the degree of competition is subject to discussion in Argentina, and it has been argued, along the lines of the structure-conduct-performance paradigm (SCP), that increased concentration could have undermined competition in banking markets. But, while acording to the former approach concentration is necessarily related to poor competition, the new industrial organization (NIO) approach, that relies on firms profit maximization behavior, has emphasized the weaknesses of relying on concentration measures to draw conclusions about market structure. This paper evaluates the competitiveness of Argentine banking markets by extending the Conjectural Variations (CV) approach to the case of multiproduct firms. We model Argentine banks as multi-output firmes, operating in two markets: retail and corporate, an adequate classification to describe the characteristics of the Argentine banking system, wher some banks are more retail oriented and have a broad network of branches, mainly offering liquidity services while others have very few branches and are more specialized in giving credit to firms. We measure the degree of market power by estimating a CV model for a panel of banks from 1997 to 1999. Rather than evaluating a specific market structure, a strategy that can lead to undetermined results in the case of multi-output firms, we construct a market power index that varies in a continuum interval. This measure permits to determine the extent to which prices deviate from marginal costs, which is the relevant question from the welfare point of view. We find that for both markets, retail and corporate, are very close to the competitive solution. Finally, these results are confronted with the predictions that could be drawn from concentration measures, according to the SCP approach. http://sedici.unlp.edu.ar:80/handle/10915/3739 Objeto de conferencia VI Jornadas de Economía Monetaria e Internacional (La Plata, 2001) En el presente trabajo se realiza un aporte a la literatura sobre volatilidad y riesgo país para posibilitar la correcta comparación entre países. Presentamos una metodología para evaluar el riesgo que incorpora: detección endógena de quiebres estructurales múltiples diferenciando sus tipos, identificación del tipo de shocks predominante a través del orden de integración fraccional depurado de quiebres estructurales y determinación de la volatilidad ajustada más apta para caracterizar la economía. Se aplica la metodología al PBI de 9 países desarrollados y 9 emergentes, para el período 1980-1999 con datos trimestrales. Si bien los países desarrollados tienen menos quiebres estructurales que los emergentes, considerarlos es muy relevante en 14/18 países. Esto modifica el cálculo de la persistencia de las series y la volatilidad de las mismas. De la comparación entre un indicador tradicional de riesgo y nuestra propuesta vemos que el 60% de los países cambia el cluster de pertenencia. Mon, 01 Jan 2001 00:00:00 GMT http://sedici.unlp.edu.ar:80/handle/10915/3739 2001-01-01T00:00:00Z En el presente trabajo se realiza un aporte a la literatura sobre volatilidad y riesgo país para posibilitar la correcta comparación entre países. Presentamos una metodología para evaluar el riesgo que incorpora: detección endógena de quiebres estructurales múltiples diferenciando sus tipos, identificación del tipo de shocks predominante a través del orden de integración fraccional depurado de quiebres estructurales y determinación de la volatilidad ajustada más apta para caracterizar la economía. Se aplica la metodología al PBI de 9 países desarrollados y 9 emergentes, para el período 1980-1999 con datos trimestrales. Si bien los países desarrollados tienen menos quiebres estructurales que los emergentes, considerarlos es muy relevante en 14/18 países. Esto modifica el cálculo de la persistencia de las series y la volatilidad de las mismas. De la comparación entre un indicador tradicional de riesgo y nuestra propuesta vemos que el 60% de los países cambia el cluster de pertenencia. http://sedici.unlp.edu.ar:80/handle/10915/3726 Objeto de conferencia VI Jornadas de Economía Monetaria e Internacional (La Plata, 2001) A great deal of empirical work has convincingly shown that there is a positive association between financial development and economic growth, and some recent work has even provided evidence that the former causes the latter. What is less clear is the identification of the actual transmission channel. This paper is an attempt in this direction, with particular emphasis placed on the role of the financial system in alleviating informational asymmetries. While research in this field has highlighted the benefits of well developed financial systems, the observation that internal funds (retained earnings plus depreciation) constitute by far the main source of funds of the corporate sector has not gained any attention. We believe that the informational frictions that lie behind this phenomenon may be part of the missing empirical link between financial system and growth. In particular, we will show that such frictions create a financing constraint that reduces investment and growth. Mon, 01 Jan 2001 00:00:00 GMT http://sedici.unlp.edu.ar:80/handle/10915/3726 2001-01-01T00:00:00Z A great deal of empirical work has convincingly shown that there is a positive association between financial development and economic growth, and some recent work has even provided evidence that the former causes the latter. What is less clear is the identification of the actual transmission channel. This paper is an attempt in this direction, with particular emphasis placed on the role of the financial system in alleviating informational asymmetries. While research in this field has highlighted the benefits of well developed financial systems, the observation that internal funds (retained earnings plus depreciation) constitute by far the main source of funds of the corporate sector has not gained any attention. We believe that the informational frictions that lie behind this phenomenon may be part of the missing empirical link between financial system and growth. In particular, we will show that such frictions create a financing constraint that reduces investment and growth.