The High Frequency Effects of Dollar Swap Lines

Rohan Kekre and Moritz Lenel

No 31901, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: We study the effects of dollar swap lines using high frequency responses in asset prices around policy announcements. News about expanded dollar swap lines causes a reduction in liquidity premia, compression of deviations from covered interest parity (CIP), and depreciation of the dollar. Equity prices rise and the VIX falls, while the response of long-term government bond prices is mixed. The cross-section of high frequency responses implies that swap lines affect the dollar factor or the price of risk. Our findings are qualitatively consistent with models relating the supply of dollar liquidity to the broader economy.

JEL-codes: E44 F31 G15 (search for similar items in EconPapers)
Date: 2023-11
New Economics Papers: this item is included in nep-fmk, nep-ifn and nep-mst
Note: AP EFG IFM ME
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