DOI: 10.5281/zenodo.17373929
title: Argentina FMVM Calibration and Structural Dataset (2015–2025): Component-Level Quarterly Data of Sovereign, Liquidity, Behavioral, and Institutional Risk Premia

description: This dataset accompanies the study “Argentina’s Equity-Market Risk Transformation under the Milei Reform Cycle (2015–2025): A Frontier Market Valuation Model (FMVM) Approach.” It provides quarterly and structural data used to calibrate and validate the Frontier Market Valuation Model (FMVM), which decomposes Argentina’s equity risk premium (ERP) into four additive components—sovereign risk (CRP), liquidity risk (LP), behavioral risk (BP), and institutional quality risk (IQP). The dataset spans the period 2015Q1–2025Q3, a decade marked by sharp regime shifts including the 2015 liberalization, the 2018–2019 capital-control reinstatement, the COVID-19 and inflationary stagnation of 2020–2023, and the 2024–2025 Milei reform cycle focused on deregulation and foreign-exchange unification.

The dataset is organized into two complementary Excel files:





Argentina_FMVM_REC.xlsx — Contains the quarterly calibration dataset, including derived FMVM components, benchmark CAPM and CAPM+CRP estimates, USD returns on the S&P Merval index, risk-free rate (1-month U.S. T-bill), and valuation anchors (forward and trailing P/E earnings yields). Each record corresponds to a quarterly observation from 2015Q1 to 2025Q3, harmonized across monetary, market, and governance variables.




Argentina_Struc.xlsx — Provides aggregated structural data summarizing average component values by regime period (post-2015 liberalization, PASO shock 2018–2019, COVID-19 stagnation 2020–2023, and Milei reforms 2024–2025). This file is optimized for comparative visualization and cross-country replication within the FMVM framework.



Primary data sources include the Central Bank of Argentina (Informe Monetario Diario, Comunicación “A” 8226), the National Institute of Statistics and Census (INDEC IPC reports), IMF WEO and EFF documentation, BYMA annual reports, the World Federation of Exchanges (turnover and spread data), Damodaran’s country risk tables, and the World Bank’s Worldwide Governance Indicators. Market valuation anchors (forward and trailing P/E) are extracted from Bloomberg and S&P/BYMA dashboards.

Each FMVM component was constructed following transparent, replicable procedures:





CRP is derived from Damodaran’s annual sovereign risk tables and mapped quarterly.




LP is estimated from turnover velocity and, where available, Median Simple Spread statistics.




BP is calculated via an EGARCH-M(1,1) model on quarterly USD excess returns to capture priced volatility in mean.




IQP translates WGI percentiles for Government Effectiveness and Control of Corruption into an institutional penalty below the global median.



All variables are expressed in annualized percentage-point form, and units, transformations, and sources are fully documented in the variable definitions tab of each file. The dataset is intended for use by researchers, policymakers, and market analysts studying country risk decomposition, policy credibility, and frontier-to-emerging market transitions.