Assessing the EMBI Impact of IMF Agreements : An Event Study
Date
2024
Authors
Arias, Julián Nicolás
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García Cicco, Javier
Journal Title
Journal ISSN
Volume Title
Publisher
Universidad de San Andrés. Departamento de Economía
Abstract
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.
Description
Fil: Arias, Julián Nicolás. Universidad de San Andrés. Departamento de Economía; Argentina.