Tesis de Maestría en Economía

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Assessing the EMBI Impact of IMF Agreements : An Event Study
(2024) Arias, Julián Nicolás
The International Monetary Fund (IMF) plays a significant role on a global scale, functioning as a lender of last resort to evade financial or balance of payments crises in developing countries. This paper aims to evaluate the effects of various key dates of such programs. High frequency EMBI data is combined with a novel database including the exact days of mission initiation, plan size, and signature of the Stand-By Arrangement (SBA) and Extended Fund Facility (EFF) programs are employed to answer this question. In the years before 2008, the signing of the plan had a detrimental effect on the EMBI, while the beginning of the mission appeared to have no impact. However, from 2008 onwards, the start day of the mission begins to play a significant role in determining the future expectations of the program. This start day, in particular, has a negative impact on the EMBI, whereas the day of the plan size announcement or plan signing does not seem to have any effect.