Interdependence Dynamics of Official and Informal Argentine Exchange Rates through Copulas

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.