Why are commercial loan rates so sticky? The effect of private information on loan spreads

• 成果类型: Article
• 署名作者: Demiroglu, Cem; James, Christopher; Velioglu, Guner
• 署名单位: Koc University; State University System of Florida; University of Florida; Loyola University Chicago
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2021.05.057
• 发表日期: 2022
• 页码: 959-972
• 关键词: Loan spreads; Relationship lending; private information; Anchoring

摘要

Past studies find that commercial loan spreads are sticky in the sense that they do not fully respond to changes in open market rates or observable firm credit risk characteristics. In this paper, we provide evidence that the appearance of stickiness arises, in part, because the intensity of bank screening varies inversely with changes in both observable firm credit risk characteristics and credit market conditions. Our analysis demonstrates that stickiness in loan spreads does not necessarily indicate loan mispricing or misallocation of credit. (C) 2021 Published by Elsevier B.V.