Interdependence Dynamics of Official and Informal Argentine Exchange Rates through Copulas

Omid M. Ardakani; Mariana Saenz

doi:10.1007/s10614-025-10965-6

Interdependence Dynamics of Official and Informal Argentine Exchange Rates through Copulas

Southern University

Research output: Contribution to journal › Article › peer-review

Abstract

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.

Original language	English
Pages (from-to)	2459-2476
Number of pages	18
Journal	Computational Economics
Volume	67
Issue number	4
DOIs	https://doi.org/10.1007/s10614-025-10965-6
State	Published - May 2 2025
Externally published	Yes

Scopus Subject Areas

Economics, Econometrics and Finance (miscellaneous)
Computer Science Applications

Keywords

COVID-19 economic impact
Copula-based models
Dependence structure
Exchange rate synchronization

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10.1007/s10614-025-10965-6

Cite this

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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.

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KW - Copula-based models

KW - Dependence structure

KW - Exchange rate synchronization

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ER -

Interdependence Dynamics of Official and Informal Argentine Exchange Rates through Copulas

Abstract

Scopus Subject Areas

Keywords

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