Argentina FMVM Dataset (2015–2025): Monthly and Structured Data Supporting the Study on Equity-Market Risk Transformation under the Milei Reform Cycle
Description
This dataset supports the paper “An applied, data-driven analysis of Argentina’s equity-market risk transformation through the Milei reform cycle (2015–2025)”, published in Research in International Business and Finance. It provides the complete Frontier Market Valuation Model (FMVM) dataset for Argentina, capturing the evolution of the country’s equity-market risk profile across multiple policy regimes and reform phases. The data are organized into two complementary Excel files: Argentina_FMVM_REC_clean.xlsx – the main monthly dataset (January 2015–September 2025) containing the raw and computed FMVM variables: GERP (%) – Global Equity Risk Premium CRP (%) – Country (Sovereign) Risk Premium LP – Liquidity Premium (decimal) BP – Behavioral Premium (decimal) IQP – Institutional Quality Premium (decimal) FMVM Cost of Equity (%) – Composite cost of equity as modeled under FMVM. The file ensures chronological consistency, full monthly coverage, and verified arithmetic coherence between sovereign and total risk premia. Argentina_Struc_filled.xlsx – the structured analytical version used for visualization and interpretation, providing both aggregated period indicators and the complete monthly expansion by policy phase. The dataset highlights the four identified reform regimes: (1) Post-2015 liberalization, (2) 2018 capital-control reinstatement, (3) 2020–2021 COVID-19 and inflationary stagnation, (4) 2024–2025 Milei deregulation and FX unification. All values are expressed in decimal or percentage terms consistent with the FMVM specification. Dates are formatted as yyyy-mm-dd. The dataset underpins the empirical evidence that Argentina’s cost of equity and component risk premia shifted substantially following Milei’s structural reforms—showing compression of sovereign and institutional risk, but temporary increases in behavioral volatility. It is intended to facilitate replication, cross-country comparison, and future frontier-market valuation research.
Files
Steps to reproduce
1. Data Sources and Period The dataset was constructed using quarterly and monthly data from 2015–2025, integrating: o Sovereign risk spreads and country ratings (Damodaran datasets, 2015–2025 editions). o Market valuation indicators (Merval Index, ARGT ETF, and forward P/E ratios). o Macroeconomic and liquidity variables from the Central Bank of Argentina (BCRA) and IMF. o Institutional-quality proxies from the World Governance Indicators (WGI). 2. Model Framework (FMVM) The Frontier Market Valuation Model decomposes the cost of equity (rₑ) into distinct risk channels: 3. re = Rf + (β × GERP) + CRP + LP + BP + IQP where: o Rf = risk-free rate (U.S. 10-year Treasury yield) o GERP = Global Equity Risk Premium o CRP = Country (sovereign) Risk Premium o LP = Liquidity Premium o BP = Behavioral Premium o IQP = Institutional Quality Premium 4. Construction Steps o Each FMVM component was estimated quarterly using official and market-based data. o Monthly interpolation was applied for smoother time-series analysis. o All numeric variables were validated for internal consistency (no gaps, duplicates, or rounding anomalies). o Behavioral and liquidity premia were calibrated using inverse P/E ratios and velocity indicators from the Argentine market. o Institutional Quality Premium (IQP) was modeled as a regime-based variable reflecting discrete institutional shifts (e.g., introduction of capital controls, deregulation events, FX unification). 5. Validation and Output o Cross-checked that ERP_CAPM_CRP ≈ ERP_CAPM + CRP for every period (numerical precision tolerance < 1e-14). o Aggregated period summaries were derived for each of the four macro-phases: (1) 2015–2017 post-liberalization, (2) 2018–2019 capital-control reinstatement, (3) 2020–2021 COVID/inflation stagnation, (4) 2024–2025 Milei reform cycle. o Final outputs were formatted with date-only cells and decimal precision (2–3 decimals), ready for replication and econometric analysis. By following the FMVM equation above and replicating the weighting logic described in the accompanying paper, any researcher can reproduce the Argentina cost-of-equity decomposition for the 2015–2025 period or extend it to additional frontier markets using the same methodology.
Institutions
- Universita Ca' Foscari