Gestión macrofiscal de la financiarización de commodities. Medición del Valor a Riesgo (VaR) de la canasta exportadora agrícola argentina

Bibliographic Data

ID21436201
AuthorsGonzalo Rondinone (0000-0002-4178-1005, Universidad de Buenos Aires), Mauricio Nicolás Cristófaro (Universidad de Buenos Aires)
Year2023
Issue93
Pages207-246
Publication date2023-03-03
Open AccessYes
TypeARTICLE
VenueRevista Desarrollo y Sociedad (JOURNAL)
Journal identifiersISSN: 0120-3584 • E-ISSN: 1900-7760
PublisherUniversidad de los Andes (PUBLISHER • VE)
DOI10.13043/dys.93.6
OpenAlexW4323049067
LanguageES
References cited27

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

Humanities · Political science · Economic Theory and Policy · Philosophy

Tools

Open DOIOpen Access