The impact of international swap lines on stock returns of banks in emerging markets
Alin Marius Andries,
Andreas Fischer () and
Pinar Yesin ()
Authors registered in the RePEc Author Service: Alin Marius Andrieș ()
No 2015-07, Working Papers from Swiss National Bank
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 responded 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: F15 F21 F32 F36 G15 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-fmk and nep-ifn
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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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Persistent link: https://EconPapers.repec.org/RePEc:snb:snbwpa:2015-07
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