Hayo, Bernd; Neuenkirch, Matthias - 2008
We study the effects of U.S. monetary policy and macroeconomic announcements on Argentine money, stock and foreign … exchange markets’ returns and volatility over the period 1998 to 2006 using a GARCH model. Firstly, we show that both types of … react stronger during the financial crisis. Fifthly, in the case of peso-denominated assets, U.S. central bank communication …