À繫¿¬±¸ Á¦ ±Ç È£ (2016³â 5¿ù)
Asian Review of Financial Research, Vol., No..
pp.1038~1077
pp.1038~1077
Is Foreign Exchange Risk Priced in Bank Loan Spreads?
Young Sang Kim Dept. of Economics and Finance Haile/US Bank College of Business Northern Kentucky University Nunn Drive, Highland Heights, KY 41099, USA
Alain Krapl Dept. of Economics and Finance Haile/US Bank College of Business Northern Kentucky University Nunn Drive, Highland Heights, KY 41099, USA
Ha-Chin Yi Dept. of Finance and Economics Mc Coy College of Business Administration Texas State University 601 University Drive, San Marcos, TX 78666
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.
Young Sang Kim
Alain Krapl
Ha-Chin Yi
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.
Foreign exchange,FX exposure,Syndicated loan market,Credit risk,Corporate international diversification