1. Gestión macrofiscal de la financiarización de commodities. Medición del Valor a Riesgo (VaR) de la canasta exportadora agrícola argentina.
- Author
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Rondinone, Gonzalo and Cristófaro, Mauricio Nicolás
- Subjects
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PRICES , *INVESTORS , *VALUE at risk , *INTERNATIONAL trade , *INTERNATIONAL markets , *FISCAL policy , *INTERNATIONAL finance , *FINANCIALIZATION - Abstract
The increased volatility of commodity prices caused by the entry of financial investors within the framework of so-called financialization, makes macroeconomic management more complex, especially for economies with a high incidence of primary products in their international trade. The purpose of this paper is to measure the exposure to export price risk for the Argentine case during the 1993-2018 period. The Value at Risk (VaR), typically used in finance, is employed in a novel way to design an export portfolio of commodities that operate daily in international markets. Among the main results is that 2.90% of the total exported is exposed to a monthly price risk from 2004 to 2018 in Argentina compared to 1.73% registered between 1993 and 2003. This indicator contributes to the design of fiscal rules that allow planning expenses based on structural income in contexts of high volatility. [ABSTRACT FROM AUTHOR]
- Published
- 2023
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