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This study investigates the effects of foreign exchange (FX) exposure on bank loan spreads. Syndicated bank loans are major form of corporate financing and critical components of loan pricing. However, the international component of credit risk and foreign exchange risk analysis, has been largely ignored. Holding firm- and loan-level characteristics constant, our results show that firm-level FX exposures are positively related to loan spreads. Lenders appear to price borrowing firms FX exposure driven from cash flow volatility and internationalization. The results are robust with different measures of FX exposures, firm fixed effects, cash flow volatility, and other confounding factors controlled.
목차
ABSTRACT
1. Introduction
2. Related literature and hypotheses
3. Data and methodology
3.1. Loan data
3.2. Estimating FX exposures
3.3. Model description: Estimating the impact of FX exposure on loan spreads
4. Empirical Results and Discussion
4.1. Sample characterization and univariate analysis
4.2 Multivariate analysis: FX exposure and loan spread
4.3 Robustness Checks
5. Conclusion
References
1. Introduction
2. Related literature and hypotheses
3. Data and methodology
3.1. Loan data
3.2. Estimating FX exposures
3.3. Model description: Estimating the impact of FX exposure on loan spreads
4. Empirical Results and Discussion
4.1. Sample characterization and univariate analysis
4.2 Multivariate analysis: FX exposure and loan spread
4.3 Robustness Checks
5. Conclusion
References
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