The Asymmetric Effect of International Swap Lines on Banks in Emerging Markets

Posted: 14 Aug 2015 Last revised: 4 Mar 2020

See all articles by Alin Marius Andries

Alin Marius Andries

Alexandru Ioan Cuza University - Faculty of Economics and Business Administration

Andreas M. Fischer

Swiss National Bank; Centre for Economic Policy Research (CEPR)

Pinar Yesin

Swiss National Bank

Multiple version iconThere are 2 versions of this paper

Date Written: June 22, 2015

Abstract

This paper investigates the effect of international swap lines on stock returns using data from banks in emerging markets. The analysis first 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 asymmetric effect 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.

Keywords: Swap lines, foreign currency loans, bank stocks, emerging markets

JEL Classification: F15, F21, F32, F36, G15

Suggested Citation

Andries, Alin Marius and Fischer, Andreas M. and Yeşin, Pınar, The Asymmetric Effect of International Swap Lines on Banks in Emerging Markets (June 22, 2015). Journal of Banking and Finance, Vol. 75, 2017, Available at SSRN: https://ssrn.com/abstract=2609451 or http://dx.doi.org/10.2139/ssrn.2609451

Alin Marius Andries (Contact Author)

Alexandru Ioan Cuza University - Faculty of Economics and Business Administration ( email )

Bd. Carol I no.22
Iasi, RO-700505
Romania

Andreas M. Fischer

Swiss National Bank ( email )

Borsenstrasse 15
CH-8022 Zurich
Switzerland
+41 1 631 3294 (Phone)
+41 1 631 3901 (Fax)

Centre for Economic Policy Research (CEPR)

London
United Kingdom

Pınar Yeşin

Swiss National Bank ( email )

Boersenstrasse 15, P.O.Box
Zurich, CH-8022
Switzerland
41-58-631-3969 (Phone)

HOME PAGE: http://www.pinaryesin.com

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