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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. ISSN 1076-9307

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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:

Date	Event
October 2008	Published

Volume:

Vol.13

Number:

No.4

Number of Pages:

Page Range:

pp. 323-332

Identification Number:

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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