Macrofiscal management of the financialization of commodities. A Value at Risk (VAR) measurement for the Argentine agricultural export basket
No. 93 (2023-03-03)Author(s)
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Gonzalo RondinoneUniversidad de Buenos Aires, Buenos Aires, Argentina
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Mauricio Nicolás CristófaroUniversidad de Buenos Aires, Buenos Aires, Argentina
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.
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