Argentina: The Honor Student—By Merit and By Mistake. A Natural Experiment on "Information Effects"

Oscar Meneses, Lorenzo Menna and Martín Tobal
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Oscar Meneses: Banco de México
Martín Tobal: Banco de México

No 355, Working Papers from Red Nacional de Investigadores en Economía (RedNIE)

Abstract: On January 7, 2025, Argentina’s EMBI spread plunged by over 114 basis points. JP Morgan later revealed that this decline resulted from a technical mistake, creating a rare natural experiment—an exogenous shift in sovereign risk pricing. Because this mistake was unrelated to Argentina’s fundamentals, it provides a unique opportunity to identify the “information effect” of asset prices. Using a Difference-in-Differences approach, we find that Argentine stocks outperformed other emerging markets during the mistake’s window, indicating that investors revised their beliefs about Argentina’s intrinsic asset values based on mispriced signals—consistent with the information effect. Stocks linked to the Vaca Muerta zone rose more sharply, suggesting investors viewed the EMBI drop as an improvement likely to facilitate investment in this major shale and gas reserve.

Keywords: EMBI; Argentina; Information Effect; Vaca Muerta; Natural Expriment (search for similar items in EconPapers)
JEL-codes: E6 F3 G1 (search for similar items in EconPapers)
Pages: 15 pages
Date: 2025-03
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