arbiter
JournalsAccount

The High-Frequency Effects of Dollar Swap Lines

Rohan Kekre & Moritz Lenel

American Economic Review: Insights2025https://doi.org/10.1257/aeri.20230667article
AJG 3ABDC A*
Weight
0.41

Abstract

We study the effects of dollar swap lines using high-frequency responses in asset prices around policy announcements. News about expanded dollar swap lines causes a reduction in liquidity premia, compression of deviations from covered interest parity, and depreciation of the dollar. Equity prices rise and the VIX falls, while the response of long-term government bond prices is mixed. The cross section of high-frequency responses implies that swap lines affect the dollar factor or the price of risk. Our findings are qualitatively consistent with models relating the supply of dollar liquidity to the broader economy. (JEL E43, E44, E58, F31, G12, G13, G15)

2 citations

Open via your library →

Cite this paper

https://doi.org/https://doi.org/10.1257/aeri.20230667

Or copy a formatted citation

@article{rohan2025,
  title        = {{The High-Frequency Effects of Dollar Swap Lines}},
  author       = {Rohan Kekre & Moritz Lenel},
  journal      = {American Economic Review: Insights},
  year         = {2025},
  doi          = {https://doi.org/https://doi.org/10.1257/aeri.20230667},
}

Paste directly into BibTeX, Zotero, or your reference manager.

Flag this paper

The High-Frequency Effects of Dollar Swap Lines

Flags are reviewed by the Arbiter methodology team within 5 business days.

Evidence weight

0.41

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.25 × 0.4 = 0.10
M · momentum0.55 × 0.15 = 0.08
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.