International Liquidity Swaps: Is the Chiang Mai Initiative Pooling Reserves Efficiently ?

Emanuel Kohlscheen and Mark Taylor

The Warwick Economics Research Paper Series (TWERPS) from University of Warwick, Department of Economics

Abstract: We analyze the network of bilateral liquidity swaps (BSAs) among the ASEAN+3 countries. We find that the network has taken the correlation of capital flows in the region into account, in the sense that countries with lower correlation of reserve growth have engaged in larger BSAs. All else equal, a decimal point increase in the correlation of international reserve growth decreases the size of a bilateral swap agreement between 18 and 27%. Moreover, we find that the approximatedly $ 60bn of BSAs have had a limited impact, if any, on government bond spreads so far. Finally, we identify potential gains from inter-regional BSAs.

Keywords: insurance; international reserves; liquidity; sovereign risk; swaps (search for similar items in EconPapers)
JEL-codes: F30 F34 (search for similar items in EconPapers)
Pages: 25 pages
Date: 2006
New Economics Papers: this item is included in nep-cba and nep-fmk
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Citations: View citations in EconPapers (6)

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Related works:
Journal Article: International liquidity swaps: is the Chiang Mai Initiative pooling reserves efficiently? (2008)
Working Paper: International Liquidity Swaps: Is the Chiang Mai Initiative Pooling Reserves Efficiently ? (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:wrk:warwec:752

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