| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP13003
|
| DP13003 Central Bank Swap Lines |
| Saleem Bahaj
|
| 发表日期 | 2018-06-19
|
| 出版年 | 2018
|
| 语种 | 英语
|
| 摘要 | Swap lines between advanced-economy central banks are a new important part of the global financial architecture. This paper analyses their monetary policy effects from three perspectives. First, from the perspective of the central banks, it shows that the swap line mimics discount-window credit from the source central bank to the recipient-country banks using the recipient central bank as the bearer of the credit risk. Second, from the perspective of the transmission of monetary policy, it shows that the swap-line rate puts a ceiling on deviations from covered interest parity, and finds evidence for it in the data. Third, from the perspective of the macroeconomic effects of policy, it shows that the swap line ex ante encourages inflows from recipient-country banks into assets denominated in the source-country's currency by reducing the ex post funding risk. We find support for these predictions using difference-in-difference empirical strategies that exploit the fact that only some currencies saw changes in the terms of their dollar swap line, only some bonds in banks' investments are exposed to dollar funding risk, only some dollar bonds are significantly traded by foreign banks, and only some banks have a significant U.S. presence. |
| 主题 | Financial Economics
; International Macroeconomics and Finance
; Monetary Economics and Fluctuations
|
| 关键词 | Liquidity facilities
Currency basis
Bond portfolio flows
|
| URL | https://cepr.org/publications/dp13003
|
| 来源智库 | Centre for Economic Policy Research (United Kingdom)
|
| 资源类型 | 智库出版物
|
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/541810
|
推荐引用方式
GB/T 7714 |
Saleem Bahaj. DP13003 Central Bank Swap Lines. 2018.
|
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