International liquidity swaps: is the Chiang Mai Initiative pooling reserves efficiently?
AbstractWe 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 Â© 2008 John Wiley & Sons, Ltd.
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Bibliographic InfoArticle provided by John Wiley & Sons, Ltd. in its journal International Journal of Finance & Economics.
Volume (Year): 13 (2008)
Issue (Month): 4 ()
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Web page: http://www.interscience.wiley.com/jpages/1076-9307/
Other versions of this item:
- Kohlscheen, Emanuel & Taylor, Mark P, 2006. "International Liquidity Swaps : Is the Chiang Mai Initiative Pooling Reserves Efficiently ?," The Warwick Economics Research Paper Series (TWERPS) 752, University of Warwick, Department of Economics.
- F30 - International Economics - - International Finance - - - General
- F34 - International Economics - - International Finance - - - International Lending and Debt Problems
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