The Impact of International Swap Lines on Stock Returns of Banks in Emerging Markets

Posted: 18 Apr 2016

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: March 2016

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 associated with micro-prudential issues.

Keywords: emerging markets, foreign currency loans, International Swap lines

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

Suggested Citation

Andries, Alin Marius and Fischer, Andreas M. and Yeşin, Pınar, The Impact of International Swap Lines on Stock Returns of Banks in Emerging Markets (March 2016). CEPR Discussion Paper No. DP11167, Available at SSRN: https://ssrn.com/abstract=2766462

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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