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)
Pages: 52 pages
Date: 2006-08, Revised 2007-10
New Economics Papers: this item is included in nep-ban and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed
Downloads: (external link)
https://media.economics.uconn.edu/working/2006-29r.pdf Full text (revised version) (application/pdf)
https://media.economics.uconn.edu/working/2006-29.pdf Full text (original version) (application/pdf)
Journal Article: Capital Flows, Maturity Mismatches, and Profitability in Emerging Markets: Evidence From Bank Level Data (2012)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:uct:uconnp:2006-29
Access Statistics for this paper
More papers in Working papers from University of Connecticut, Department of Economics University of Connecticut 365 Fairfield Way, Unit 1063 Storrs, CT 06269-1063. Contact information at EDIRC.
Bibliographic data for series maintained by Mark McConnel ().