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I am finishing my MA at NYU. If you're looking for a placement at a consulting firm, get involved with Stern (NYU business school) as soon as possible. Stern has much stronger connections to the professional world than the economics department. If you're looking at the World Bank - you might want to try to get involved with the Wagner school (the public policy school at NYU), as they will also probably have better connections.
I think an MBA is a much stronger signal to potential employers than an MA is, if you are considering consulting. The problem with an MA in economics is that many employers don't know how what to make of you; you're better qualified than undergrads, but definately not of the PhD level. I think there also a far number of MBAs already in consulting and hence you have a much stronger network effect.
I think if you are interested in WB operational jobs - the public policy schools are a better bet: Kennedy School, Woodrow Wilson, Columbia's SPIC (sp?), etc . . WB research positions probalby require a PhD.
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