Replication data for: Mixed Signals: Crisis Lending and Capital Markets

The effect of new IMF lending announcements on capital markets depends on the lender’s political motivations. There are conditions under which lending reduces the risk of a deepening crisis and reduces the risk premium demanded by market actors. On the other hand, the political interests that make lenders willing to lend weaken the credibility of commitments to reform, and the act of accepting an agreement reveals unfavorable information about the state of the borrower’s economy. The net “catalytic” effect on the price of private borrowing depends on whether these effects dominate the beneficial effects of the liquidity the loan provides. Decomposing the contradictory effects of crisis lending provides an explanation for the discrepant empirical findings in the literature about market reactions. We test the implications of our theory by examining how sovereign bond yields are affected by IMF program announcements, loan size, the scope of conditions attached to loans, and measures of the geopolitical interests of the United States, a key IMF principal.

新国际货币基金组织（International Monetary Fund, IMF）贷款公告对资本市场的影响，取决于贷款方的政治动机。在特定条件下，此类贷款可缓解危机恶化风险，并降低市场参与者要求的风险溢价。另一方面，促使贷款方愿意提供贷款的政治利益，会削弱改革承诺的可信度；而借款方接受贷款协议的行为，也会暴露其经济体状况的不利信息。私人借贷成本的净"催化"效应，取决于上述负面效应是否会超过贷款提供的流动性所带来的正向收益。拆解危机贷款的双重效应，可解释学界关于市场反应的实证研究结论存在分歧的原因。本研究通过考察IMF项目公告、贷款规模、贷款附带条件的范围，以及作为IMF核心出资方的美国的地缘政治利益相关指标，如何影响主权债券收益率，对理论假说进行了实证检验。