Data and Code for: Arbitraging Covered Interest-Rate Parity Deviations and Bank Lending

Principal Investigator(s):  View help for Principal Investigator(s) Lorena Keller, University of Pennsylvania. The Wharton School

Version:  View help for Version V1

Name File Type Size Last Modified
  cip_replication_package_noconfidential 05/26/2024 03:49:PM

Project Citation: 

Keller, Lorena. Data and Code for: Arbitraging Covered Interest-Rate Parity Deviations and Bank Lending. Nashville, TN: American Economic Association [publisher], 2024. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2024-07-30. https://doi.org/10.3886/E199262V1

Project Description

Summary:  View help for Summary
I propose and test a new channel through which covered interest-rate parity (CIP) deviations can affect bank lending in emerging economies. I argue that when CIP deviations exist, banks attempt to arbitrage them. To do so, banks must borrow in a particular currency. When this currency is scarce, bank lending in the currency required to arbitrage decreases, while they use this currency in their arbitrage activities. I test this channel by exploiting differences in the abilities of Peruvian banks to arbitrage CIP deviations. I find evidence that supports the proposed channel.

Scope of Project

Subject Terms:  View help for Subject Terms emerging markets; covered interest rate parity; CIP; banking; bank lending; currency risk; currency mismatch
JEL Classification:  View help for JEL Classification
      F31 Foreign Exchange
      F41 Open Economy Macroeconomics
      G15 International Financial Markets
Geographic Coverage:  View help for Geographic Coverage Peru
Time Period(s):  View help for Time Period(s) 2/2005 – 2/2013; 2/2005 – 12/2007; 8/2009 – 2/2013; 2/2005 – 8/2023
Universe:  View help for Universe Universe of banks in Peru
Data Type(s):  View help for Data Type(s) administrative records data
Collection Notes:  View help for Collection Notes Most of the data is confidential administrative data obtained from the Peruvian bank regulator, Superintendencia de Banca y Seguros (SBS).

Given the instructions for the repository, I am only including the non-confidential data. However, I obtained permission from the SBS to share my data with the data editor of the AER. The condition under which I obtained such permission is that the confidential data I share with the data editor is exclusively for replication purposes of this paper. The data cannot be shared, published or used for any other means that for the replication.

I will contact the editor to ask how I can share this data with the data editor.

Methodology

Sampling:  View help for Sampling Most of the data pertains to reports that banks in Peru need to send to the Peruvian bank regulator. This includes the universe of banks in Peru.
Regarding bank lending to firms, however, the data only includes firms considered larger or equal to "Medium" as per the Superintendencia de Banca y Seguros (SBS) guidelines.
Data Source:  View help for Data Source Below is the data sources, both confidential and non-confidential. The replication package I am uploading only has the non-confidential data (as per the instructions). However, as previously mentioned, I can share the confidential data with the data editor.
Collection Mode(s):  View help for Collection Mode(s) mixed mode
Unit(s) of Observation:  View help for Unit(s) of Observation bank-trade-month, bank-firm-month, bank-month
Geographic Unit:  View help for Geographic Unit Peru

Related Publications

Download this project

Published Versions

V1 [2024-07-30]

Export Metadata

Dublin Core

DDI 2.5

Report a Problem

Found a serious problem with the data, such as disclosure risk or copyrighted content? Let us know.

This material is distributed exactly as it arrived from the data depositor. ICPSR has not checked or processed this material. Users should consult the investigator(s) if further information is desired.