DP11167 The impact of international swap lines on stock returns of banks in emerging markets
|Author(s):||Alin Marius Andries, Andreas M Fischer, Pinar Yesin|
|Publication Date:||March 2016|
|Keyword(s):||emerging markets, foreign currency loans, International Swap lines|
|JEL(s):||F15, F21, F32, F36, G15|
|Programme Areas:||International Macroeconomics and Finance, Monetary Economics and Fluctuations|
|Link to this Page:||cepr.org/active/publications/discussion_papers/dp.php?dpno=11167|
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.