| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP14212 |
| DP14212 Foreign Currency Loans and Credit Risk: Evidence from U.S. Banks | |
| Friederike Niepmann; Tim Schmidt-Eisenlohr | |
| 发表日期 | 2019-12-18 |
| 出版年 | 2019 |
| 语种 | 英语 |
| 摘要 | When firms borrow in foreign currency, exchange rate changes can affect their ability to repay the debt. Loan-level data from U.S. banks' regulatory filings show that a 10 percent depreciation of the local currency quarter-to-quarter increases the probability that a firm becomes past due on its loans by 37 basis points for firms with foreign currency debt relative to those with local currency debt. Because firms do not perfectly hedge, exchange rate risk of the borrowers translates into credit risk for banks. Firms are more likely to borrow in foreign currency if they have foreign income and if a UIP deviation makes foreign currency loans cheaper. The paper establishes additional facts on large U.S. banks' international corporate loan portfolios, offering a more comprehensive perspective than syndicated loan data. |
| 主题 | International Macroeconomics and Finance |
| 关键词 | Cross-border banking Exchange rates Credit risk Corporate loans |
| URL | https://cepr.org/publications/dp14212 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/543100 |
| 推荐引用方式 GB/T 7714 | Friederike Niepmann,Tim Schmidt-Eisenlohr. DP14212 Foreign Currency Loans and Credit Risk: Evidence from U.S. Banks. 2019. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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