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The asymmetric effect of international swap lines on banks in emerging markets

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  • Andrieș, Alin Marius
  • Fischer, Andreas M.
  • Yeșin, Pınar

Abstract

This paper investigates the effect of international swap lines on stock returns using data from banks in emerging markets. The analysis first shows that swap lines by the Swiss National Bank (SNB) had a positive impact on bank stocks in Central and Eastern Europe. It then highlights the importance of individual bank characteristics in identifying the asymmetric effect of swap lines on bank stocks. Bank-level evidence suggests that stock prices of local and less-well capitalized banks as well as banks with high foreign currency exposures and high reliance on short-term funding responded more strongly to SNB swap lines. This new evidence is consistent with the view that swap lines not only enhanced market liquidity but also reduced risks associated with micro-prudential issues.

Suggested Citation

  • Andrieș, Alin Marius & Fischer, Andreas M. & Yeșin, Pınar, 2017. "The asymmetric effect of international swap lines on banks in emerging markets," Journal of Banking & Finance, Elsevier, vol. 75(C), pages 215-234.
  • Handle: RePEc:eee:jbfina:v:75:y:2017:i:c:p:215-234
    DOI: 10.1016/j.jbankfin.2016.11.021
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    References listed on IDEAS

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    More about this item

    Keywords

    Swap lines; Foreign currency loans; Bank stocks; Emerging markets;

    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • F33 - International Economics - - International Finance - - - International Monetary Arrangements and Institutions

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