MARC Record from Library of Congress

LEADER: 02904nam a22003137a 4500
001 2009655508
003 DLC
005 20090326073351.0
007 cr |||||||||||
008 090326s2009 mau sb 000 0 eng
010 $a 2009655508
040 $aDLC$cDLC
050 00 $aHB1
100 1 $aAizenman, Joshua.
245 10 $aSelective swap arrangements and the global financial crisis$h[electronic resource] :$banalysis and interpretation /$cJoshua Aizenman, Gurnain Kaur Pasricha.
260 $aCambridge, MA :$bNational Bureau of Economic Research,$cc2009.
490 1 $aNBER working paper series ;$vworking paper 14821
538 $aSystem requirements: Adobe Acrobat Reader.
538 $aMode of access: World Wide Web.
500 $aTitle from PDF file as viewed on 3/26/2009.
530 $aAlso available in print.
504 $aIncludes bibliographical references.
520 3 $a"The onset of the US credit crisis in 2008, and its rapid globalization induced the FED to extend unprecedented swap-lines of 30 billion dollars to four emerging markets, and the proliferation of other cross-countries selective swap arrangements. This paper explores the logic for these arrangements, focusing on the degree to which financial and trade linkages, financial openness and credit risk history account for discerning the formation of swap arrangements to EMs. We also study the impact of the formation of these credit lines on the exchange rate and the financial spreads of the relevant countries. We find that exposure of US banks to EMs is the most important selection criterion for explaining the "selected four" swap-lines. This result is consistent with the outlined model, where we show that in circumstances of unanticipated deleveraging, emergency swap-lines may prevent or mitigate costly liquidation today, allowing investment projects to reach maturity and providing positive option value to both the source and the recipient countries. The FED swap-lines had relatively large short-run impact on the exchange rates of the selected EMs, but much smaller effect on the spreads (measured relative to that of other EMs that were not the recipients of swap-lines). Specifically, non-swap countries saw an average depreciation of 0.15% on the day after swap announcement, but swap countries saw their exchange rate appreciate on average, by about 4%. Yet, all the swap countries saw their exchange rate subsequently depreciate to a level lower than pre-swap rate, calling into question the long-run impact of the arrangements"--National Bureau of Economic Research web site.
650 0 $aSwaps (Finance)
650 0 $aFinancial crises.
700 1 $aPasricha, Gurnain Kaur.
710 2 $aNational Bureau of Economic Research.
830 0 $aWorking paper series (National Bureau of Economic Research : Online) ;$vworking paper no. 14821.
856 40 $uhttp://papers.nber.org/papers/w14821