IDEAS home Printed from https://ideas.repec.org/a/eee/inecon/v158y2025ics0022199625001345.html

Argentina: The honor student—By merit and by mistake. A natural experiment on “information effects”

Author

Listed:
  • Meneses, Oscar
  • Menna, Lorenzo
  • Tobal, Martin

Abstract

On January 7, 2025, Argentina's EMBI spread plunged by over 114 basis points. J.P. Morgan later revealed that the decline was due to a technical error, creating a rare natural experiment—an exogenous shift in sovereign risk pricing. Because this error was neither anticipated nor related to Argentina's fundamentals or global conditions, the experiment provides a unique setting to identify the “information effect,” whereby investors update their beliefs in response to noisy signals embedded in price movements. Using a Difference-in-Differences approach and high-frequency (intraday) stock market data, we find that Argentine equities outperformed those of other EMEs during the error window, indicating that investors revised their asset valuations based on mispriced signals. These results underscore the importance of clear and timely communication in emerging market economies to prevent second-order effects that, despite solid fundamentals, can trigger herding behavior and macrofinancial instability.

Suggested Citation

  • Meneses, Oscar & Menna, Lorenzo & Tobal, Martin, 2025. "Argentina: The honor student—By merit and by mistake. A natural experiment on “information effects”," Journal of International Economics, Elsevier, vol. 158(C).
    • Handle: RePEc:eee:inecon:v:158:y:2025:i:c:s0022199625001345
    DOI: 10.1016/j.jinteco.2025.104177
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0022199625001345
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.jinteco.2025.104177?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to look for a different version below or

    for a different version of it.

    Other versions of this item:

    More about this item

    Keywords

    ;
    ;
    ;
    ;
    ;

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • F3 - International Economics - - International Finance
    • E6 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:inecon:v:158:y:2025:i:c:s0022199625001345. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/505552 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.