Determinants and Effects of Maturity Mismatches in Emerging Markets: Evidence from Bank Level Data


Autoria(s): Aysun, Uluc
Data(s)

01/08/2006

Resumo

Despite the extensive work on currency mismatches, research on the determinants and effects of maturity mismatches is scarce. In this paper I show that emerging market maturity mismatches are negatively affected by capital inflows and price volatilities. Furthermore, I find that banks with low maturity mismatches are more profitable during crisis periods but less profitable otherwise. The later result implies that banks face a tradeoff between higher returns and risk, hence channeling short term capital into long term loans is caused by cronyism and implicit guarantees rather than the depth of the financial market. The positive relationship between maturity mismatches and price volatility, on the other hand, shows that the banks of countries with high exchange rate and interest rate volatilities can not, or choose not to hedge themselves. These results follow from a panel regression on a data set I constructed by merging bank level data with aggregate data. This is advantageous over traditional studies which focus only on aggregate data.

Formato

application/pdf

Identificador

http://digitalcommons.uconn.edu/econ_wpapers/200629

http://digitalcommons.uconn.edu/cgi/viewcontent.cgi?article=1013&context=econ_wpapers

Publicador

DigitalCommons@UConn

Fonte

Economics Working Papers

Palavras-Chave #mergentonline #bank level data #maturity mismatches #liquidity #profitability and debt structure ratios #price volatility #Economics
Tipo

text