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.
JEL Classification: F31, G32, G33
Key words: Foreign exchange; FX exposure; Syndicated loan market; Credit risk; Corporate international diversification
학회소식
[2016년 제 2차] Is Foreign Exchange Risk Priced in Bank Loan Spread
작성자 : 관리자
조회수 : 854
게시일 :
2016-06-03
