چگونه اطلاعیه های صندوق بین المللی پول بر بازارهای مالی در شرایط بحرانی تأثیر می گذارد؟شواهدی از بازارهای ارز پیشرو

We employ a theoretical model to interpret the liquidity and moral hazard effects of IMF support during a financial crisis. We then estimate the response of forward exchange markets to IMF-related announcements, using data on the 3-, 9-, and 12-month forward exchange rates. Our results indicate that the announcement of IMF negotiations is associated with a premium on the baht and the rupiah, where the premium is much larger on the latter. This result is largely consistent with the responses of stock and bond markets, especially when country-specific data are employed.

This paper extends the literature on the impact of IMF-related events on financial markets during financial crises in two directions. First, previous studies tend to rush to conclusions regarding the liquidity/credibility or moral hazard interpretation of the IMF support. While the debate still continues, our goal is to use a sound theoretical framework to demonstrate the difficulty of providing unambiguous interpretations on the impact of IMF events on private financial markets. To this end, we employ a theoretical model developed by Corsetti et al. (2006) in which liquidity and moral hazard effects of IMF support are developed, and interpret our empirical results accordingly.2 Second, we investigate the response of forward exchange markets to IMF-related news. Previous studies have focused on the response of either bond or stock markets to either IMF program duration or IMF-related news. However, the behavior of forward exchange rate has not yet been investigated in this context. This is the first study focusing on forward exchange rates. There are several reasons why investigating forward exchange rate is important. First, it allows us the opportunity to examine whether the responses of bond and stock markets are consistent with those of forward exchange markets. A second main reason for investigating forward exchange rates lies in the fact that the interest rate parity (IRP) may not hold during crisis periods due to time-varying risk premium. One can argue that interest rate spreads may be affected by factors such as expected or existing capital controls during crisis periods, which implies some degree of segmentation in domestic and foreign bond markets. Therefore, the absence of fully materialized interest rate arbitrage may not allow bond spreads to fully reflect market reactions. On the other hand, because foreign exchange markets are global and large enough to be affected by any one country, forward exchange rate movements may be better able to capture the dynamics of the risk premium, especially during crisis periods. Therefore, the addition of forward exchange rates can improve our understanding regarding the effects of prospective IMF programs on financial markets. Third, investigating the term structure of the forward premium at different maturities (3-, 9-, and 12-month) may provide evidence how investors react differently to IMF events at different horizons. For example, our results show that IMF program approval news results in a forward discount in the shorter maturities, but such news brings about a premium over time at the relatively long-run maturities (i.e., 12-month). In the following section, we introduce the theoretical framework to analyze and interpret the liquidity and moral hazard effects of IMF support. Section 3 provides a summary of previous research regarding the effects of IMF programs or IMF-related news on bond and stock markets to motivate our focus on forward exchange rates. In Section 4, we summarize the methodology and the results of the estimations using forward exchange rates of various maturities. Section 5 provides concluding remarks.

In this paper, we have two objectives. First, we would like to emphasize the fact that, as of now, an unambiguous liquidity/credibility or moral hazard interpretation of IMF support has only been achieved in theoretical studies (Corsetti et al., 2006 and Zwart, 2007). The translation of the existing theoretical studies into the empirical work requires the presence of good proxies for variables such as political pressure on governments, governments’ willingness or efforts to implement economic reforms, etc. The absence of these proxies has been the main reason for the separation between the theoretical and empirical work on this issue. Because the existing empirical studies do not address this problem, it is important to point out to the current discrepancy between the theoretical and empirical studies. Future studies should therefore attempt to develop further theoretical models to allow a more straightforward interpretation of IMF-related news based on empirical evidence. Second, we attempt to augment the previous results associated with stock and bond markets by estimating the response of the 3-, 9-, and 12-month forward exchange rates to IMF-related news, using the recent theoretical advances that address the issues regarding the interpretation of the results as liquidity or moral hazard effects. Although the results do not allow a clear interpretation of the results as liquidity or moral hazard effects, it can be, however, concluded that financial markets respond favorably to IMF-related news, especially to the announcement of negotiations, with a premium on the baht and the rupiah, where the premium is much larger on the latter. This result is largely consistent with the responses of stock and bond markets, especially when country-specific data are employed. However, as we argued above, unambiguous liquidity/credibility or moral hazard interpretations of these favorable financial market responses to IMF-related news cannot be provided. There is a significant gap between theory and empirical work.