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Pricing and Usage: An Empirical Analysis of Lines of Credit

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  • Miguel A. Duran

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.

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  • Miguel A. Duran, 2024. "Pricing and Usage: An Empirical Analysis of Lines of Credit," Papers 2401.12301, arXiv.org.
    • Handle: RePEc:arx:papers:2401.12301
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    Cited by:

    1. Duran, Miguel A., 2022. "The risk–return relation in the corporate loan market," The North American Journal of Economics and Finance, Elsevier, vol. 60(C).

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    JEL classification:

    • G30 - Financial Economics - - Corporate Finance and Governance - - - General
    • G20 - Financial Economics - - Financial Institutions and Services - - - General

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