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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., 1958- (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
Number: No.752
Number of Pages: 25
Status: Not Peer Reviewed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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URI: http://wrap.warwick.ac.uk/id/eprint/1443

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