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Reprint of: The asymmetric effect of international swap lines on banks in emerging markets

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

Journal of Banking & Finance, 2017, vol. 83, issue C, 153-172

Abstract: This paper investigates the effect of international swap lines on stock returns using data from banks in emerging markets. The analysis first 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 asymmetric effect 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.

Keywords: Swap lines; Foreign currency loans; Bank stocks; Emerging markets (search for similar items in EconPapers)
JEL-codes: G21 G15 F33 (search for similar items in EconPapers)
Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:83:y:2017:i:c:p:153-172

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