The bank liquidity smile across exchange rate regimes

摘要

Combining panel data on bank liquidity at the individual level and data on their macroeco-nomic environment, for a sample of commercial banks in emerging countries between 1995 and 2004, we show that there exists a 'bank liquidity smile across exchange rate regimes'. In extreme regimes at both ends of the line, i.e. for pure floating exchange rate regimes at one end and currency boards and dollarised economies at the other end, bank assets are more liquid than in intermediate regimes.