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

Alin Marius Andries (), Andreas Fischer () and Pinar Yesin
Additional contact information
Alin Marius Andries: Alexandru Ioan Cuza University of Iasi, http://www.uaic.ro
Authors registered in the RePEc Author Service: Alin Marius Andrieș

No 16.01, Working Papers from Swiss National Bank, Study Center Gerzensee

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 micro-prudential issues.

Pages: 33 pages
Date: 2015-10
New Economics Papers: this item is included in nep-ifn
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Citations: View citations in EconPapers (2)

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Related works:
Working Paper: The impact of international swap lines on stock returns of banks in emerging markets (2016)
Working Paper: The impact of international swap lines on stock returns of banks in emerging markets (2015)
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