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

Author

Listed:
  • Oscar Meneses

    (Banco de México)

  • Lorenzo Menna

    (Banco de México)

  • Martín Tobal

    (Banco de México)

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.

Suggested Citation

  • Oscar Meneses & Lorenzo Menna & Martín Tobal, 2025. "Argentina: The Honor Student—By Merit and By Mistake. A Natural Experiment on "Information Effects"," Working Papers 355, Red Nacional de Investigadores en Economía (RedNIE).
    • Handle: RePEc:aoz:wpaper:355
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    File URL: https://rednie.eco.unc.edu.ar/files/DT/355.pdf
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    More about this item

    Keywords

    EMBI; Argentina; Information Effect; Vaca Muerta; Natural Expriment;
    All these 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

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