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Capital Flows, Maturity Mismatches and Profitability in Emerging Markets: Evidence from Bank Level Data

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  • Uluc Aysun

    (University of Connecticut)

Abstract

Despite the extensive work on currency mismatches, research on the significance of maturity mismatches in emerging market countries is scarce. In this paper, I show that emerging market banks' maturity mismatches increase during periods of high capital inflows, and that banks with high maturity mismatches are less profitable during crisis periods but more profitable otherwise. Hence, banks face a tradeoff between higher returns and risk. These results follow from a panel regression on a data set I constructed by merging bank level data with aggregate data. A simple Diamond-Dybvig (1983) partial equilibrium framework motivates the empirical analysis.

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Bibliographic Info

Paper provided by University of Connecticut, Department of Economics in its series Working papers with number 2006-29.

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Length: 52 pages
Date of creation: Aug 2006
Date of revision: Oct 2007
Handle: RePEc:uct:uconnp:2006-29

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Keywords: bank level data; maturity mismatches; liquidity; profitability and debt structure ratios; price volatility; mergentonline.;

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References

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  1. Mark Gertler & Simon Gilchrist & Fabio Natalucci, 2003. "External Constraints on Monetary Policy and the Financial Accelerator," NBER Working Papers 10128, National Bureau of Economic Research, Inc.
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  17. Buch, Claudia M. & Lusinyan, Lusine, 2003. "Determinants of short-term debt: a note," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 13(2), pages 157-170, April.
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Cited by:
  1. Diana Sadoveanu, 2012. "Dealing with the Challenges of Capital Inflows: The case of Romania," Proceedings of FIKUSZ '12, in: Pál Michelberger (ed.), Proceedings of FIKUSZ '12, pages 81-90 Óbuda University, Keleti Faculty of Business and Management.

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