TY - JOUR
T1 - Interdependence Dynamics of Official and Informal Argentine Exchange Rates through Copulas
AU - Ardakani, Omid M.
AU - Saenz, Mariana
N1 - Publisher Copyright:
© The Author(s), under exclusive licence to Springer Science+Business Media, LLC, part of Springer Nature 2025.
PY - 2025/5/2
Y1 - 2025/5/2
N2 - We employ copula models to examine the interdependence dynamics between Argentina’s official and informal exchange rates, particularly highlighting shifts induced by the COVID-19 pandemic. We observe a pronounced synchronization of market downturns in the aftermath of the pandemic, suggesting an increased susceptibility of the informal market to fluctuations in the official sector. Our findings also highlight policy measures, such as taxation on foreign capital flows, which, though intended to stabilize the market, may inadvertently heighten the risk of exchange rate crises.
AB - We employ copula models to examine the interdependence dynamics between Argentina’s official and informal exchange rates, particularly highlighting shifts induced by the COVID-19 pandemic. We observe a pronounced synchronization of market downturns in the aftermath of the pandemic, suggesting an increased susceptibility of the informal market to fluctuations in the official sector. Our findings also highlight policy measures, such as taxation on foreign capital flows, which, though intended to stabilize the market, may inadvertently heighten the risk of exchange rate crises.
KW - Copula-based models
KW - COVID-19 economic impact
KW - Dependence structure
KW - Exchange rate synchronization
UR - http://www.scopus.com/inward/record.url?scp=105004059652&partnerID=8YFLogxK
U2 - 10.1007/s10614-025-10965-6
DO - 10.1007/s10614-025-10965-6
M3 - Article
AN - SCOPUS:105004059652
SN - 0927-7099
JO - Computational Economics
JF - Computational Economics
ER -