Why is dollar debt Cheaper? Evidence from Peru

• 成果类型: Article
• 署名作者: Gutierrez, Bryan; Ivashina, Victoria; Salomao, Juliana
• 署名单位: University of Minnesota System; University of Minnesota Twin Cities; Harvard University; Center for Economic & Policy Research (CEPR); National Bureau of Economic Research; University of Minnesota System; University of Minnesota Twin Cities; Center for Economic & Policy Research (CEPR)
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2023.04.003
• 发表日期: 2023
• 页码: 245-272
• 关键词: Dollar loans; UIP; Bank regulatio

摘要

In emerging markets, a significant share of corporate loans are denominated in dollars. Using novel data that includes loan-level currency and the cost of credit, in addition to several other transaction-level characteristics, we re-examine the reasons behind dollar credit popularity. We find that a dollar-denominated loan has an interest rate that is 2 percentage points lower per year than a loan in local currency. Expectations of exchange rate movements do not explain this difference. We show that this interest rate differential for lending rates is closely matched by the differential in the deposit market. Our results suggest that the preference for dollar loans is rooted in the local depositors preference for dollar savings, and a banking sector that is strongly incentivized to closely match its foreign-currency assets and liabilities. Cross-borrower variation points to competitive pres-sure among banks to explain the significant pass-through of this differential.(c) 2023 Elsevier B.V. All rights reserved.