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International liquidity swaps : is the Chiang Mai Initiative pooling reserves efficiently?
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Kohlscheen, E. and Taylor, Mark P. (2008) International liquidity swaps : is the Chiang Mai Initiative pooling reserves efficiently? International Journal of Finance & Economics, Vol.13 (No.4). pp. 323-332. doi:10.1002/ijfe.381
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Official URL: http://dx.doi.org/10.1002/ijfe.381
Abstract
We analyse the network of bilateral liquidity swaps (BSAs) among the ASEAN+3 countries. We find that the network has taken the correlation or 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 decrease the size of a bilateral swap agreement between 18% and 27%. Moreover, we find that the approximately $ 60 bit of BSAs have had a limited impact, if any, on government bond spreads so far. Finally, we identify potential gains from inter-regional BSAs. Copyright (C) 2008 John Wiley & Sons, Ltd.
| Item Type: | Journal Article | ||||
|---|---|---|---|---|---|
| Subjects: | H Social Sciences > HG Finance | ||||
| Divisions: | Faculty of Social Sciences > Economics | ||||
| Journal or Publication Title: | International Journal of Finance & Economics | ||||
| Publisher: | John Wiley & Sons Ltd. | ||||
| ISSN: | 1076-9307 | ||||
| Official Date: | October 2008 | ||||
| Dates: |
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| Volume: | Vol.13 | ||||
| Number: | No.4 | ||||
| Number of Pages: | 10 | ||||
| Page Range: | pp. 323-332 | ||||
| DOI: | 10.1002/ijfe.381 | ||||
| Status: | Peer Reviewed | ||||
| Publication Status: | Published | ||||
| Access rights to Published version: | Restricted or Subscription Access | ||||
| Version or Related Resource: | 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. University of Warwick, Department of Economics, Coventry. | ||||
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