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dc.contributor.authorDelis, MD
dc.contributor.authorPolitsidis, PN
dc.contributor.authorSarno, Lucio
dc.date.accessioned2022-01-06T00:31:10Z
dc.date.available2022-01-06T00:31:10Z
dc.date.issued2022-03
dc.identifier.issn0378-4266
dc.identifier.urihttps://www.repository.cam.ac.uk/handle/1810/332118
dc.description.abstractLending to corporates in foreign currencies can expose banks to substantial currency risk. Using global syndicated loan data, we find that a one-standard-deviation increase in exchange rate volatility increases loan spreads somewhere in the range between 5.5 and 16.1 basis points for loans made in a currency different from the lenders’. This implies excess interest of approximately 1 to 3 USD million for loans of average size and duration. We also show that this finding is mostly attributed to credit constraints and deviations from perfect competition in international lending markets, and that borrowers can lower the extra cost by forming strong lending relationships with their banks.
dc.publisherElsevier
dc.rightsAttribution-NonCommercial-NoDerivatives 4.0 International
dc.rights.urihttps://creativecommons.org/licenses/by-nc-nd/4.0/
dc.titleThe cost of foreign-currency lending
dc.typeArticle
dc.publisher.departmentJudge Business School
dc.date.updated2022-01-04T08:40:13Z
prism.publicationNameJournal of Banking and Finance
dc.identifier.doi10.17863/CAM.79564
dcterms.dateAccepted2021-12-23
rioxxterms.versionofrecord10.1016/j.jbankfin.2021.106398
rioxxterms.versionAM
dc.contributor.orcidSarno, Lucio [0000-0003-1279-9748]
rioxxterms.typeJournal Article/Review
cam.issuedOnline2022-01-07
cam.orpheus.successTue Feb 01 19:02:36 GMT 2022 - Embargo updated
cam.depositDate2022-01-04
pubs.licence-identifierapollo-deposit-licence-2-1
pubs.licence-display-nameApollo Repository Deposit Licence Agreement
rioxxterms.freetoread.startdate2023-07-07


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Attribution-NonCommercial-NoDerivatives 4.0 International
Except where otherwise noted, this item's licence is described as Attribution-NonCommercial-NoDerivatives 4.0 International