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International liquidity swaps: is the Chiang Mai Initiative pooling reserves efficiently?

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Kohlscheen, Emanuel and Taylor, Mark P. (2006) International liquidity swaps: is the Chiang Mai Initiative pooling reserves efficiently? Working Paper. Coventry: University of Warwick, Department of Economics. Warwick economic research papers (No.752).

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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.

Item Type:

Working or Discussion Paper (Working Paper)

Subjects:

H Social Sciences > HG Finance

Divisions:

Faculty of Social Sciences > Economics

Library of Congress Subject Headings (LCSH):

Liquidity (Economics), International liquidity, Swaps (Finance), Special drawing rights, Insurance

Series Name:

Warwick economic research papers

Publisher:

University of Warwick, Department of Economics

Place of Publication:

Coventry

Official Date:

2006

Dates:

Date	Event
2006	Published

Number:

No.752

Number of Pages:

Status:

Not Peer Reviewed

Access rights to Published version:

Open Access

Funder:

Economic and Social Research Council (Great Britain) (ESRC)

Grant number:

R.ECAA0063 (ESRC)

References:

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Irwin, G., Penalver, A., Salmon, C. and Taylor, A. (2005) Dealing with country diversity - challenges for the IMF coinsurance model. Mimeo. International Finance Division, Bank of England.
Park, Y.C. (2004) Beyond the Chiang Mai Initiative: Prospects for Regional Financial and Monetary Integration in East Asia. Mimeo. Korea University. The joint ministerial statement of the ASEAN+3 finance ministers meeting. May 9, 2001. Honolulu.
Rose, A. (2005) One reason countries pay their debt: renegotiation and international trade. Journal of Development Economics.
Srivastasa, V. K., Dwivedi, T. D. (1979) Estimation of seemingly unrelated regressions: a brief survey. Journal of Econometrics 10, 15-32.
Wooldridge, J. M. (2002) Econometric analysis of cross section and panel data. MIT Press.
Wright, K. M. (1954) Dollar pooling in the sterling area, 1939-1952. American Economic Review 44, 4, 559-576.
Zellner, A. (1961) Econometric estimation with temporally dependent disturbance terms. International Economic Review 2, 164-177.

URI:

http://wrap.warwick.ac.uk/id/eprint/1443

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