G2TT
来源类型Discussion paper
规范类型论文
来源IDDP14212
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
URLhttps://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.
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