Expectativas devaluatorias y actividad: Análisis de un modelo ARDL para Argentina (2017-2023)

Hunicken, Javier (2025): Expectativas devaluatorias y actividad: Análisis de un modelo ARDL para Argentina (2017-2023).

Abstract

Resumen El trabajo desarrolla un modelo IS-LM modificado para economías bimonetarias, pequeñas y abiertas, incorporando expectativas devaluatorias en la demanda de dinero. El modelo se estima mediante ARDL para Argentina en el período entre diciembre de 2016 y agosto de 2023. Los hallazgos muestran que aumentos en la expectativa de devaluación generan contracciones en el nivel de actividad y aumentos en la tasa de interés consistentes con un cumplimiento parcial de la paridad descubierta. Asimismo, se encuentra que los efectos de la política fiscal no son convencionales en este período. En este contexto se resalta el rol de la credibilidad para la efectividad de la política macroeconómica. Finalmente, se propone una política de fijación de tasas de interés como instrumento para anclar expectativas y morigerar la volatilidad del ingreso.

Abstract This paper develops a modified IS-LM model for small, open, bimonetary economies, incorporating devaluation expectations into the demand for money. The model is estimated using an ARDL approach for Argentina over the period December 2016 to August 2023. The findings show that increases in devaluation expectations lead to contractions in economic activity and increases in interest rates, consistent with a partial fulfillment of uncovered interest rate parity. In addition, the results provide evidence of nonconventional effects of fiscal policy during the period analyzed. In this context, the role of credibility is highlighted as a key condition for the effectiveness of macroeconomic policy. Finally, the paper proposes an interest rate targeting policy as an instrument to anchor expectations and mitigate income volatility.

• Item Type: MPRA Paper
• English Title: Devaluation expectations and output: An ARDL model analysis for Argentina (2017-2023)
• Language: Spanish
• Keywords: Tipo de cambio; Expectativas de devaluación; Condición Marshall-Lerner; Sustitución de monedas; Política monetaria; ARDL; Argentina; Exchange rate; Devaluation expectations; Marshall-Lerner condition; Currency substitution; Monetary Policy.
• Subjects: C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models; D - Microeconomics > D8 - Information, Knowledge, and Uncertainty > D84 - Expectations ; Speculations; E - Macroeconomics and Monetary Economics > E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit > E52 - Monetary Policy; F - International Economics > F3 - International Finance > F31 - Foreign Exchange; F - International Economics > F4 - Macroeconomic Aspects of International Trade and Finance > F41 - Open Economy Macroeconomics

References

Agénor, P.-R. (1991). Credibility and exchange rate management in developing countries (Working Paper No. 1991/087). International Monetary Fund. https://doi.org/10.5089/9781451850925.001

Alesina, A., Ardagna, S., Perotti, R., & Schiantarelli, F. (1999). Fiscal policy, profits, and investment (Working Paper No. 7207). National Bureau of Economic Research. https://doi.org/10.3386/w7207

Amado, N. A., Cerro, A. M., & Meloni, O. (2005). Making explosive cocktails: Recipes and costs for 26 crises from 1823 to 2003. Conference paper presented at the Asociación Argentina de Economía Política (AAEP), La Plata, Argentina.

Bertholet, N. (2023). Devaluaciones contractivas en América Latina: Un análisis VAR de Argentina, Chile y Colombia. 15° Premio de Investigación Económica “Dr. Raúl Prebisch” 2023, Banco Central de la República Argentina.

Breusch, T. S. (1978). Testing for autocorrelation in dynamic linear models. Australian Economic Papers, 17(31), 334–355. https://doi.org/10.1111/j.1467-8454.1978.tb00635.x

Breusch, T. S., & Pagan, A. R. (1979). A simple test for heteroscedasticity and random coefficient variation. Econometrica, 47(5), 1287–1294. https://doi.org/10.2307/1911963

Brown, R. L., Durbin, J., & Evans, J. M. (1975). Techniques for testing the constancy of regression relationships over time. Journal of the Royal Statistical Society: Series B (Methodological), 37(2), 149–192. http://www.jstor.org/stable/2984889

Bussière, M., & Mulder, C. (1999). Political instability and economic vulnerability (Working Paper No. 1999/046). International Monetary Fund. https://doi.org/10.5089/9781451846539.001

Cagan, P. (1956). The monetary dynamics of hyperinflation. In M. Friedman (Ed.), Studies in the quantity theory of money (pp. 25–117). University of Chicago Press.

Calvo, G. A., & Végh, C. A. (1992). Currency substitution in developing countries: An introduction (Working Paper No. 1992/040). International Monetary Fund. https://doi.org/10.5089/9781451845884.001

Descalzi, R., & Neder, A. E. (2024). Seigniorage in small-open dollarized economies: The Argentine case. Conference paper presented at Arnoldshain Seminar XVIII: Current Challenges in International Economics, Montevideo, Uruguay.

Dickey, D. A., & Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74(366), 427–431. https://doi.org/10.2307/2286348

Dogliolo, F., Dvoskin, A., Garegnani, L., & Sangiácomo, M. (2023). Las elasticidades del comercio exterior en Argentina (2004–2022) (Nota técnica No. 6). Banco Central de la República Argentina. https://www.investigacioneseconomicas.bcra.gob.ar/notas_tecnicas/article/view/58

Dornbusch, R. (1976). Expectations and exchange rate dynamics. Journal of Political Economy, 84(6), 1161–1176. http://www.jstor.org/stable/1831272

Fleming, J. M. (1962). Domestic financial policies under fixed and under floating exchange rates. Staff Papers (International Monetary Fund), 9(3), 369–380. https://doi.org/10.2307/3866091

Friedman, M. (1961). The lag in effect of monetary policy. Journal of Political Economy, 69(5), 447–466. http://www.jstor.org/stable/1828534

Godfrey, L. G. (1978). Testing for higher order serial correlation in regression equations when the regressors include lagged dependent variables. Econometrica, 46(6), 1303–1310. https://doi.org/10.2307/1913830

Gómez, M. (2011). El Banco Provincial de Córdoba y la crisis de Baring: Argentina, 1890/91. Revista de Economía y Estadística, 49(2), 51–78. https://doi.org/10.55444/2451.7321.2011.v49.n2.7490

Krugman, P., & Taylor, L. (1978). Contractionary effects of devaluation. Journal of International Economics, 8(3), 445–456. https://doi.org/10.1016/0022-1996(78)90007-7

Lerner, A. P. (1944). Economics of control: Principles of welfare economics. Macmillan.

Lucas, R. E. Jr. (1976). Econometric policy evaluation: A critique. Carnegie-Rochester Conference Series on Public Policy, 1(1), 19–46. https://doi.org/10.1016/S0167-2231(76)80003-6

Lucas, R. E. Jr. (1996). Nobel lecture: Monetary neutrality. Journal of Political Economy, 104(4), 661–682. http://www.jstor.org/stable/2138880

Marshall, A. (1923). Money, credit and commerce. Macmillan.

Meredith, G., & Ma, Y. (2002). The forward premium puzzle revisited (Working Paper No. 2002/028). International Monetary Fund. https://doi.org/10.5089/9781451844672.001

Mundell, R. A. (1963). Capital mobility and stabilization policy under fixed and flexible exchange rates. The Canadian Journal of Economics and Political Science, 29(4), 475–485. https://doi.org/10.2307/139336

Neder, A. E. (2023). Sector externo. In A. E. Neder (Ed.), Macroeconomía introductoria (pp. 89–121). Facultad de Ciencias Económicas, UNC.

Ocampo, E. (2023). Dollarization as an effective commitment device: The case of Argentina (Documento de trabajo No. 848). Universidad del CEMA. https://ucema.edu.ar/documento-trabajo/dollarization-effective-commitment-device-caseargentina

Pesaran, M. H., Shin, Y., & Smith, R. J. (2001). Bounds testing approaches to the analysis of level relationships. Journal of Applied Econometrics, 16(3), 289–326. http://www.jstor.org/stable/2678547

Phillips, P. C. B., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335–346. https://doi.org/10.2307/2336182

Poole, W. (1970). Optimal choice of monetary policy instruments in a simple stochastic macro model. The Quarterly Journal of Economics, 84(2), 197–216. https://doi.org/10.2307/1883009

Sargent, T. J., & Wallace, N. (1981). Some unpleasant monetarist arithmetic. Quarterly Review, 5(3). https://doi.org/10.21034/qr.531

Svensson, L. E. O. (2003). What is wrong with Taylor rules? Using judgment in monetary policy through targeting rules. Journal of Economic Literature, 41(2), 426–477. https://doi.org/10.1257/002205103765762734

Temperley, P. (2020). Sustitución de monedas y efecto histéresis: Una aplicación empírica para Argentina. 12° Premio de Investigación Económica “Dr. Raúl Prebisch” 2020, Banco Central de la República Argentina.

Walsh, C. E. (2017). Money and the open economy. In C. E. Walsh, Monetary theory and policy (pp. 397–454). MIT Press.

Willems, T. (2018). What do monetary contractions do? Evidence from large, unanticipated tightenings (Working Paper No. 2018/211). International Monetary Fund. https://doi.org/10.5089/9781484378229.001

Zack, G., & Dalle, D. (2016). Elasticidades del comercio exterior de la Argentina: ¿Una limitación para el crecimiento? Realidad Económica, 289, 133–154. http://hdl.handle.net/11336/16028