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The impact of international swap lines on stock returns of banks in emerging markets

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  • Fischer, Andreas
  • YeÅŸin, Pınar
  • Andries, Alin

Abstract

2015 Abstract This paper investigates the impact of international swap lines on stock returns using data from banks in emerging markets. The analysis 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 impact 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 associated with micro-prudential issues.

Suggested Citation

  • Fischer, Andreas & YeÅŸin, Pınar & Andries, Alin, 2016. "The impact of international swap lines on stock returns of banks in emerging markets," CEPR Discussion Papers 11167, C.E.P.R. Discussion Papers.
    • Handle: RePEc:cpr:ceprdp:11167
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    Cited by:

    1. Elena Seghezza, 2018. "Can swap line arrangements help solve the Triffin dilemma? How?," The World Economy, Wiley Blackwell, vol. 41(10), pages 2691-2708, October.
    2. Alin-Marius ANDRIEȘ & Florentina IEȘAN-MUNTEAN & Simona NISTOR, 2016. "The effectiveness of policy interventions in CEE countries," Eastern Journal of European Studies, Centre for European Studies, Alexandru Ioan Cuza University, vol. 7, pages 93-124, June.

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    Keywords

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    JEL classification:

    • F15 - International Economics - - Trade - - - Economic Integration
    • F21 - International Economics - - International Factor Movements and International Business - - - International Investment; Long-Term Capital Movements
    • F32 - International Economics - - International Finance - - - Current Account Adjustment; Short-term Capital Movements
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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