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The bank liquidity smile across exchange rate regimes

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Author Info
Irina Bunda
Jean-Baptiste Desquilbet

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Abstract

Combining panel data on bank liquidity at the individual level and data on their macroeconomic environment, for a sample of commercial banks in emerging countries between 1995 and 2004, we show that there exists a 'bank liquidity smile across exchange rate regimes'. In extreme regimes at both ends of the line, i.e. for pure floating exchange rate regimes at one end and currency boards and dollarised economies at the other end, bank assets are more liquid than in intermediate regimes.

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File URL: http://www.informaworld.com/openurl?genre=article&doi=10.1080/10168730802287952&magic=repec&7C&7C8674ECAB8BB840C6AD35DC6213A474B5
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Publisher Info
Article provided by Korean International Economic Association in its journal International Economic Journal.

Volume (Year): 22 (2008)
Issue (Month): 3 ()
Pages: 361-386
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Handle: RePEc:taf:intecj:v:22:y:2008:i:3:p:361-386

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Related research
Keywords: bank liquidity; exchange rate regimes; currency boards; emerging countries;

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This page was last updated on 2009-12-10.

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