Capital Flows, Maturity Mismatches and Profitability in Emerging Markets: Evidence from Bank Level Data
AbstractDespite 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 InfoPaper provided by University of Connecticut, Department of Economics in its series Working papers with number 2006-29.
Length: 52 pages
Date of creation: Aug 2006
Date of revision: Oct 2007
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More information through EDIRC
bank level data; maturity mismatches; liquidity; profitability and debt structure ratios; price volatility; mergentonline.;
Find related papers by JEL classification:
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- F32 - International Economics - - International Finance - - - Current Account Adjustment; Short-term Capital Movements
- F34 - International Economics - - International Finance - - - International Lending and Debt Problems
- F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics
This paper has been announced in the following NEP Reports:
- NEP-ALL-2007-01-13 (All new papers)
- NEP-BAN-2007-01-13 (Banking)
- NEP-MAC-2007-01-13 (Macroeconomics)
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