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International Liquidity Swaps : Is the Chiang Mai Initiative Pooling Reserves Efficiently ?

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Author Info
Kohlscheen, Emanuel (Department of Economics, University of Warwick)
Taylor, Mark P (Department of Economics, University of Warwick)

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Abstract

We analyze 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 approximatedly $ 60bn of BSAs have had a limited impact, if any, on government bond spreads so far. Finally, we identify potential gains from inter-regional BSAs.

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File URL: http://www2.warwick.ac.uk/fac/soc/economics/research/workingpapers/publications/2006/twerp_752.pdf
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Publisher Info
Paper provided by University of Warwick, Department of Economics in its series The Warwick Economics Research Paper Series (TWERPS) with number 752.

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Length: 25 pages
Date of creation: 2006
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Handle: RePEc:wrk:warwec:752

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Related research
Keywords: insurance ; international reserves ; liquidity ; sovereign risk ; swaps;

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Find related papers by JEL classification:
F30 - International Economics - - International Finance - - - General
F34 - International Economics - - International Finance - - - International Lending and Debt Problems

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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. 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)
  3. Bayoumi, Tamim & Eichengreen, Barry & Mauro, Paolo, 2000. "On Regional Monetary Arrangements For ASEAN," CEPR Discussion Papers 2411, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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  4. 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!]
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Cited by:
(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, 2007. "Temor y falla de mercados: Desequilibrios mundiales y “aseguramiento propio," RES Working Papers 4499, Inter-American Development Bank, Research Department. [Downloadable!]
  2. 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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  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!]
    Other versions:
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