International liquidity swaps: is the Chiang Mai Initiative pooling reserves efficiently?
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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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|
|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|Status:||Not Peer Reviewed|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)|
Bayoumi, T., Eichengreen, B. (2000) On Regional Monetary Arrangements for ASEAN. Journal of the Japanese and International Economies 14, 121-148.
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