Abstract

RONDINONE, Gonzalo; NICOLAS CRISTOFARO, Mauricio; RONDINONE, Gonzalo  and  NICOLAS CRISTOFARO, Mauricio. Macrofiscal management of the financialization of commodities. A Value at Risk (VAR) measurement for the Argentine agricultural export basket. Desarro. soc. [online]. 2023, n.93, pp.207-246.  Epub Jan 01, 2023. ISSN 0120-3584.  https://doi.org/10.13043/dys.93.6.

The increased volatility of commodity prices caused by the entry of financial investors within the framework of so-called financialization, makes macro- economic 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.

JEL classification: Q11, G10, E60.

Keywords : financialization; risk; commodities; Argentina.

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