Effectiveness of Central Bank Swap Lines in Alleviating the Mispricing of FX Swaps at the Start of the COVID-19 Pandemic
K Schellekens, P Duijm - 2022 - ideas.repec.org
At the start of the COVID-19 pandemic the increased market volatility and risk aversion led to
a deterioration of US Dollar funding conditions in the Euro Area. The swap line interventions
by the ECB and Federal Reserve on March 15, 2020 aimed to alleviate the mispricing of
EUR/USD FX swaps. We find that these swap line interventions were effective since they
alleviated part of the mispricing. The announcement effect of the interventions is however
limited; the impact of the swap line interventions is larger and more significant closer to the …
a deterioration of US Dollar funding conditions in the Euro Area. The swap line interventions
by the ECB and Federal Reserve on March 15, 2020 aimed to alleviate the mispricing of
EUR/USD FX swaps. We find that these swap line interventions were effective since they
alleviated part of the mispricing. The announcement effect of the interventions is however
limited; the impact of the swap line interventions is larger and more significant closer to the …
Effectiveness of Central Bank Swap Lines in Alleviating the Mispricing of FX Swaps at the Start of the Covid-19 Pandemic
P Duijm, K Schellekens - 2022 - papers.ssrn.com
At the start of the COVID-19 pandemic the increased market volatility and risk aversion led to
a deterioration of US Dollar funding conditions in the Euro Area. The swap line interventions
by the ECB and Federal Reserve on March 15, 2020 aimed to alleviate the mispricing of
EUR/USD FX swaps. We find that these swap line interventions were effective since they
alleviated part of the mispricing. The announcement effect of the interventions is however
limited; the impact of the swap line interventions is larger and more significant closer to the …
a deterioration of US Dollar funding conditions in the Euro Area. The swap line interventions
by the ECB and Federal Reserve on March 15, 2020 aimed to alleviate the mispricing of
EUR/USD FX swaps. We find that these swap line interventions were effective since they
alleviated part of the mispricing. The announcement effect of the interventions is however
limited; the impact of the swap line interventions is larger and more significant closer to the …
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