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This paper provides evidence on the effectiveness of the IMF by examining the impact of its program on wealth. We analyze all IMF press releases about forthcoming aid for 16 emerging countries during the period 1989–1999, together with references in the Financial Times to possible IMF support. Using event study methodology, we measure the impact of these announcements on the prices of a number of assets, including equities, currencies, domestic and foreign bank stocks, and sovereign debt. Our findings suggest that neither the IMF announcements nor the FT news have a measurable effect on asset values. The exceptions are the announcements in the FT that suggest IMF support is less likely to be forthcoming. In these cases we observe negative abnormal returns.

Recent events in Asia, Russia and South America have prompted discussions about the role of the IMF and its effectiveness. This paper uses a fairly standard “events-study” methodology to provide evidence on the impact of IMF assistance. There are two commonly cited roles for the IMF in resolving international financial crises. The first is to provide an international analogue to the domestic lender of last resort.1 The second is to advise on, and encourage, policy reforms in the affected countries. The traditional role for a domestic lender of last resort was first discussed by Thornton (1802) and Bagehot (1873), and was more precisely formulated in Diamond and Dybvig (1983). Diamond and Dybvig observe that fractional reserve banks may be subject to a liquidity crisis, where agents rush to withdraw their deposits. One way to remove this incentive to run is if everyone knows that the central bank stands ready to supply whatever liquidity is needed. A similar problem can arise when depositors make inferences about bank solvency from the actions of other depositors. In this case a withdrawal of cash by one group of depositors can lead to a rational cascade of further withdrawals. A central bank that has access to private information on bank solvency may be able to intervene to prevent a bad cascade and nudge the system towards a good equilibrium.2 Such liquidity and solvency runs assume fully rational agents. However, much of the comment on financial crises is colored by the notion that financial markets are subject to irrational and contagious “panics,” which lead them to over-react. In this case the steadying hand of a lender of last resort may help to restore confidence and prevent “disorderly markets.” These arguments for a domestic lender of last resort have international analogues.3 An international body, such as the IMF, may be of value where countries have a large volume of foreign currency deposits or loans, which may be subject to runs. However, the ability of the IMF to fill this role is hampered by its lack of resources. Unlike a central bank, the IMF cannot create money and therefore cannot provide open-ended access to liquidity. This lack of financial resources may not be important if the IMF′s function is to control solvency-motivated runs. If investors could be confident that the IMF had superior information, then its willingness to put its money where its mouth is would constitute a signal to investors that their loans are safe and so remove the incentive to run. The credibility of this signal may depend on the amount of the assistance relative to the IMF′s total resources, but not on the absolute amount of the assistance. The problem for the IMF in this case is, therefore, not so much its access to cash but its access to the information that is needed to reverse a solvency run. Moreover, the IMF is often under political pressure to extend assistance to borrowers and this muddies the signal provided by the IMF. The second role for the IMF in crisis resolution arises from the conditions that are attached to its loans. The IMF′s provision of support is typically linked to acceptance by the local government of a reform program, and funds are released in tranches only as the program is implemented. The fact that the required reforms are packaged with IMF lending both allows the IMF to exert leverage on the borrower and provides an incentive for it to monitor the implementation of the reforms. The two models of the IMF′s role do not sit happily together and have different implications for the form of its assistance. For example, there is little place for staged lending or conditionality for a lender of last resort, whose function is to provide large immediate assistance to stem a liquidity or solvency-motivated run. On the other hand, staged conditional lending is an essential tool for enforcing policy changes. The aim of this paper is to provide evidence on the effectiveness of the IMF by examining the impact of its programs on wealth. In Section 2 we outline alternative approaches to measuring the role and usefulness of the IMF. Section 3 describes our hypothesis and the data used in this study. In Section 4 we present and discuss our empirical findings. Finally, Section 5 summarizes and concludes.

In this paper we have examined the effect of news of IMF assistance on the values of a range of financial assets. The focus on asset values brings with it two advantages. First, in efficient asset markets the news of IMF support should be immediately impounded in prices. Second, since investors expect to earn only the equilibrium rate of return in each period, we have a relatively well-defined benchmark for measuring the effect on wealth of the IMF′s involvement. We find that in the weeks leading up to the announcement of IMF involvement there are substantial declines in asset prices. However, there is no evidence that the announcement of IMF support causes any part of these wealth losses to be reversed. Our failure to reject the null hypothesis may reflect the lack of power in our tests. The data for asset prices in emerging markets are often of poor quality, and there is considerable variance in asset returns during a period of crisis, which could be masking a true gain in asset values. It would, for example, be almost impossible to distinguish whether asset prices rose by the degree of subsidy involved in IMF loans. Also to the extent that markets anticipate that IMF support will be forthcoming, the eventual announcement of assistance may contain relatively little information. While our results on the announcement of support were generally consistent, we did observe significant wealth losses when it appeared that IMF support was less likely to be forthcoming. Although, the sample sizes here were much smaller, the result is consistent with the view that good “news” is largely anticipated, so that the only new information concerning IMF support is bad news. The principal casualty of this absence of abnormal announcement returns is the signalling argument, for it is difficult to argue that the IMF’s support for a country provides an important signal which was nevertheless fully anticipated. More generally, the results provide little backing for the view that the IMF’s intervention is successful in shifting financial markets between two markedly different equilibria. Whether this is because self-fulfilling crises are rare or because the IMF lacks the resources necessary to reestablish a “good” equilibrium remains an open question. Our results are broadly consistent with those of Lane and Philips (2000) and are open to the same interpretation. Had we observed significant positive abnormal returns, we would not have been able to distinguish whether they stemmed from a moral-hazard problem of the IMF’s making or reflected a net gain from IMF intervention. However, the apparent absence of such returns suggests that investors cannot count on the IMF to remedy their losses and have correspondingly less inducement to lend recklessly.