Earticle

초록

영어

This study scrutinized the relationship between the network and the cost of credit in syndicated loans. The purpose of this paper is to undertake banks’ use of microscopic information of firms and macroscopic transmission caused by the syndicated loan market when decision-making situations. The monthly inter-bank networks are constructed via the similarity of the bank’s loan portfolio, using the syndicated loan provided by Thomson Reuter´s Dealscan from 2000 through 2020. First of all, we show the positive relationship between bank degree and realized volatility of the bank. During global financial crises, such as the 2007-2008 crisis and the COVID-19 pandemic, risk exposure is higher than those in pre-crisis periods. These results imply that interbank networks reflect exogenous shocks to the global financial system. In addition, We find that the coefficient on lender’s degree centrality is positive and statistically significant at the 1% level in the loan spreads after controlling the characteristics of the bank and with the lender country- , firm industry-, and year-fixed effects. In other words, banks with higher network exposure cause higher interest rates of loan agreements concerning risk-return trade-offs. These results imply that connectedness based on the similarity of loan portfolio reflects the risk and return of the bank. This paper broadens our perspective of the matching mechanisms between banks and firms for assessing the banks’ quality and pinpointing an informational channel involving the relationship by the concept of a complex network.

목차

Abstract
1. Introduction
2. Data and Methodology
2.1. Data Source
2.2. Network Construction
2.3. Key Variables
3. Syndicated Loan Network and the Loan Pricing
3.1. The Analysis of Interbank Network
3.2. Realized volatility and degree of interbank network
3.3. The effect of interbank network’s degree on loan pricing
3.4. The impact of degree on loan pricing according to bank size
3.5. Government restriction related to COVID-19 pandemic
4. Conclusion
5. Acknowledgement
References

키워드

저자

• A-young Park [ Division of Business Administration, Chosun University, Department of Anesthesiology, University of Michigan, Ann Arbor, 48109, MI, United States ]
• Gabjin Oh [ Division of Business Administration, Chosun University, Gwangju, 61452, Republic of Korea ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330