Arbeitspapier

Foreign Currency Loans and Credit Risk: Evidence from U.S. Banks

When firms borrow in foreign currency but collect revenues in local currency, exchange rate changes can affect their ability to repay their debt. Using loan-level data from U.S. banks’ regulatory filings, this paper studies the effect of exchange rate changes on firms’ loan payments. A 10 percent depreciation of the local currency makes a firm with foreign currency debt 69 basis points more likely to become past due on its loans than a firm with local currency debt. This result implies that firms do not perfectly hedge against exchange rate risk and that this risk translates into credit risk for banks. The findings lend support to both the balance sheet channel and the financial channel of exchange rates.

Sprache
Englisch

Erschienen in
Series: CESifo Working Paper ; No. 6700

Klassifikation
Wirtschaft
Foreign Exchange
International Financial Markets
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
Thema
cross-border banking
exchange rates
credit risk
corporate loans

Ereignis
Geistige Schöpfung
(wer)
Niepmann, Friederike
Schmidt-Eisenlohr, Tim
Ereignis
Veröffentlichung
(wer)
Center for Economic Studies and ifo Institute (CESifo)
(wo)
Munich
(wann)
2017

Handle
Letzte Aktualisierung
10.03.2025, 11:41 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Niepmann, Friederike
  • Schmidt-Eisenlohr, Tim
  • Center for Economic Studies and ifo Institute (CESifo)

Entstanden

  • 2017

Ähnliche Objekte (12)