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International liquidity swaps: is the Chiang Mai Initiative pooling reserves efficiently?

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Author Info
E. Kohlscheen (Department of Economics, University of Warwick, UK)
M. P. Taylor (Department of Economics, University of Warwick, UK)

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Abstract

We analyse the network of bilateral liquidity swaps (BSAs) among the ASEAN+3 countries. We find that the network has taken the correlation of capital flows in the region into account, in the sense that countries with lower correlation of reserve growth have engaged in larger BSAs. All else equal, a decimal point increase in the correlation of international reserve growth decreases the size of a bilateral swap agreement between 18% and 27%. Moreover, we find that the approximately $ 60 bn of BSAs have had a limited impact, if any, on government bond spreads so far. Finally, we identify potential gains from inter-regional BSAs. Copyright © 2008 John Wiley & Sons, Ltd.

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File URL: http://hdl.handle.net/10.1002/ijfe.381
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Article provided by John Wiley & Sons, Ltd. in its journal International Journal of Finance & Economics.

Volume (Year): 13 (2008)
Issue (Month): 4 ()
Pages: 323-332
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Handle: RePEc:ijf:ijfiec:v:13:y:2008:i:4:p:323-332

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Rose, Andrew K., 2005. "One reason countries pay their debts: renegotiation and international trade," Journal of Development Economics, Elsevier, vol. 77(1), pages 189-206, June. [Downloadable!] (restricted)
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  2. Irwin, Gregor & Penalver, Adrian & Salmon, Chris & Taylor, Ashley, 2008. "Dealing with country diversity: challenges for the IMF credit union model," Bank of England working papers 349, Bank of England. [Downloadable!]
  3. Bayoumi, Tamim & Eichengreen, Barry & Mauro, Paolo, 2000. "On Regional Monetary Arrangements for ASEAN," Journal of the Japanese and International Economies, Elsevier, vol. 14(2), pages 121-148, June. [Downloadable!] (restricted)
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  4. Dodsworth, John R, 1978. "International Reserve Economies in Less Developed Countries," Oxford Economic Papers, Oxford University Press, vol. 30(2), pages 277-91, July. [Downloadable!] (restricted)
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(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Marcus Miller & Lei Zhang, 2006. "Capital Flows, Interest Rates and Precautionary Behaviour: a model of "global imbalances"," WEF Working Papers 0014, ESRC World Economy and Finance Research Programme, Birkbeck, University of London. [Downloadable!]
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  2. Marcus Miller & Lei Zhang, 2007. "Temor y falla de mercados: Desequilibrios mundiales y “aseguramiento propio," RES Working Papers 4499, Inter-American Development Bank, Research Department. [Downloadable!]
  3. Marcus Miller & Lei Zhang, 2007. "Fear and Market Failure: Global Imbalances and “Self-Insurance”," RES Working Papers 4498, Inter-American Development Bank, Research Department. [Downloadable!]
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