The Library
International liquidity swaps: is the Chiang Mai Initiative pooling reserves efficiently?
Tools
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).
|
PDF
WRAP_Kohlscheen_twerp_752.pdf - Requires a PDF viewer. Download (146Kb) |
Official URL: http://www2.warwick.ac.uk/fac/soc/economics/resear...
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: |
|
||||
Number: | No.752 | ||||
Number of Pages: | 25 | ||||
Institution: | University of Warwick | ||||
Status: | Not Peer Reviewed | ||||
Access rights to Published version: | Open Access (Creative Commons) | ||||
Funder: | Economic and Social Research Council (Great Britain) (ESRC) | ||||
Grant number: | R.ECAA0063 (ESRC) |
Request changes or add full text files to a record
Repository staff actions (login required)
View Item |