Foreign currency loans and credit risk: Evidence from US banks

• 成果类型: Article
• 署名作者: Niepmann, Friederike; Schmidt-Eisenlohr, Tim
• 署名单位: Federal Reserve System - USA; Federal Reserve System Board of Governors
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2021.103558
• 发表日期: 2022
• 关键词: Cross-border banking; Exchange rates; Credit risk; Corporate loans

摘要

When firms borrow in foreign currency and are not perfectly hedged, exchange rate changes can affect their ability to repay the debt. U.S. loan-level data 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 42 basis points for firms with foreign currency debt relative to those with local currency debt. This increase is economically significant, given a baseline probability of 20 basis points, and indicates that exchange rate risk of borrowers can translate into credit risk for banks. Firms are more likely to borrow in foreign currency if they belong to industries that generate more income abroad 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 perspective complementary to that provided by syndicated loan data. (c) 2021 Published by Elsevier B.V.