Pricing and usage: An empirical analysis of lines of credit

Miguel Duran

Journal of International Financial Markets, Institutions and Money, 2017, vol. 50, issue C, 219-234

Abstract: The hypothesis that committed revolving credit lines with fixed spreads can provide firms with interest rate insurance is a standard feature of models on these credit facilities’ interest rate structure. Nevertheless, this hypothesis has not been tested. Its empirical examination is the main contribution of this paper. To perform this analysis, and given the unavailability of data, we hand-collect data on usage at the credit line level itself. The resulting dataset enables us also to take into account characteristics of credit lines that have been ignored by previous research. One of them is that credit lines can have simultaneously fixed and performance-based spreads.

Keywords: Financial distress; Interest rate insurance; Pricing; Revolving credit lines; Usage (search for similar items in EconPapers)
JEL-codes: G20 G30 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (2)

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Working Paper: Pricing and Usage: An Empirical Analysis of Lines of Credit (2024)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:50:y:2017:i:c:p:219-234

DOI: 10.1016/j.intfin.2017.08.012

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