Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/156495
Authors: 
Andrieș, Alin Marius
Fischer, Andreas M.
Yeșin, Pınar
Year of Publication: 
2015
Series/Report no.: 
Working Paper, Study Center Gerzensee 16.01
Abstract: 
This paper investigates the impact of international swap lines on stock returns using data from banks in emerging markets. The analysis shows that swap lines by the Swiss National Bank (SNB) had a positive impact on bank stocks in Central and Eastern Europe. It then highlights the importance of individual bank characteristics in identifying the impact of swap lines on bank stocks. Bank-level evidence suggests that stock prices of local and less-well capitalized banks as well as banks with high foreign currency exposures and high reliance on short-term funding responded more strongly to SNB swap lines. This new evidence is consistent with the view that swap lines not only enhanced market liquidity but also reduced risks associated with micro-prudential issues.
Subjects: 
swap lines
foreign currency loans
bank stocks
emerging markets
JEL: 
F15
F21
F32
F36
G15
Document Type: 
Working Paper

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