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

Andreas Fischer (), Yeşin, Pınar and Alin Andries
Authors registered in the RePEc Author Service: Pınar Ayşe Yeşin and Alin Marius Andrieș

No 11167, CEPR Discussion Papers from C.E.P.R. Discussion Papers

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.

Keywords: International swap lines; Foreign currency loans; Emerging markets (search for similar items in EconPapers)
JEL-codes: F15 F21 F32 F36 G15 (search for similar items in EconPapers)
Date: 2016-03
New Economics Papers: this item is included in nep-fmk and nep-tra
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Citations: View citations in EconPapers (1)

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Working Paper: The impact of international swap lines on stock returns of banks in emerging markets (2015)
Working Paper: The impact of international swap lines on stock returns of banks in emerging markets (2015)
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