Capital Flows, Maturity Mismatches and Profitability in Emerging Markets: Evidence from Bank Level Data
Uluc Aysun ()
No 2006-29, Working papers from University of Connecticut, Department of Economics
Despite the extensive work on currency mismatches, research on the significance of maturity mismatches in emerging market countries is scarce. In this paper, I show that emerging market banks' maturity mismatches increase during periods of high capital inflows, and that banks with high maturity mismatches are less profitable during crisis periods but more profitable otherwise. Hence, banks face a tradeoff between higher returns and risk. These results follow from a panel regression on a data set I constructed by merging bank level data with aggregate data. A simple Diamond-Dybvig (1983) partial equilibrium framework motivates the empirical analysis.
Keywords: bank level data; maturity mismatches; liquidity; profitability and debt structure ratios; price volatility; mergentonline. (search for similar items in EconPapers)
JEL-codes: E44 F32 F34 F41 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ban and nep-mac
Date: 2006-08, Revised 2007-10
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Journal Article: Capital Flows, Maturity Mismatches, and Profitability in Emerging Markets: Evidence From Bank Level Data (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:uct:uconnp:2006-29
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