银行贷款利差与汇率不确定性渠道

Bank Lending Marginsand The Exchange RateUncertainty Channel Sneha Agrawal WP/26/81 IMF Working Papersdescribe research inprogress by the author(s) and are published toelicit comments and to encourage debate.The views expressed in IMF Working Papers arethose of the author(s) and do not necessarilyrepresent the views of the IMF, its Executive Board,or IMF management. 2026APR IMF Working PaperResearch Department Bank Lending Margins and The Exchange Rate Uncertainty ChannelPrepared by Sneha Agrawal Authorized for distribution by Petia TopalovaApril 2026 IMF Working Papersdescribe research in progress by the author(s) and are published to elicitcomments and to encourage debate.The views expressed in IMF Working Papers are those of theauthor(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management. ABSTRACT:Uncertainty in the foreign value of the US dollar affects the US banking sector and therefore, theUS real economy. In this paper, I propose a novel ‘Exchange Rate (ER) Uncertainty Channel’ and show theeffects of increased volatility in the trade-weighted US dollar index on the US banking sector. Higher volatility inthe exchange rate leads to retrenchment by foreign banks from the US syndicated loans market (SLM). Thisentails a loanable funds supply bottleneck for US banks trying to finance their loans through syndicates. USbanks respond with tighter credit standards in an attempt to re-allocate scarce funds. In response to a 1standard deviation increase in ER volatility, US banks’ net interest margin increase by 10 bps annualized,whereas balance sheet contract by 2-3 pp annualized. This is consistent with banks exerting market power inthe loan market while simultaneously shrinking their balance sheet. Both the price and volume effects arestronger for US banks with greater exposure to the SLM as measured by their loans-tointerest-earning-assetsratio. Thus, volatility in the US dollar is a ‘global risk indicator’ that significantly affects US banking lendingactivity. RECOMMENDED CITATION:Agrawal, Sneha. 2026.Bank Lending Margins and The Exchange RateUncertainty Channel.IMF Working Paper WP/26/81. Washington, DC: International Monetary Fund. Bank Lending Margins and TheExchange Rate UncertaintyChannel Prepared by Sneha Agrawal1 1Introduction The US dollar is a global currency that acts as a “barometer of the risk taking capacityin the global capital markets” [Avdjiev et al., 2019]. It is also the dominant currency forboth financial and commodity transactions globally [Gopinath et al., 2020]. As a result,fluctuations in the foreign value of the USD (United States Dollar) – whether changesin its level or volatility – affect global financial markets.Previous research emphasizesthat changes in the value of the US dollar adversely affect foreign banks’ balance sheetand cause a spillover to US banking activities. The mechanism is driven by a reductionin the demand for loans by foreign banks in the secondary markets.As documentedby [Niepmann and Schmidt-Eisenlohr, 2023], a one-standard deviation rise in the tradeweighted broad USD index leads to a 10 percent reduction in new loan origination by USbanks.In this paper, I propose a novel ‘Exchange-Rate (ER) Uncertainty Channel’ and esti- mate the effect of increased uncertainty in the foreign value of the USD on the US bankingsector.I study the extent to which US bank lending activities are exposed to volatilityin the USD exchange rate through global capital markets.I show that second momentchanges in the foreign value of the USD - measured using changes in the volatility of themajor currencies USD Index - cause reduction in US bank lending, increase in net interestmargins and a shift towards internal funding as measured by banks’ loans-to-deposit ratio.US banks rely on the syndicated loans market (SLM) to finance a majority of their commercial and industrial loans. This supply of loanable funds is obtained from foreignbanks and institutional investors.Notably, foreign banks have persistently financed 30-40% of all loans issued in the SLM, over the last two decades.Since transactions inthe SLM are primarily denominated in USD, this creates a currency mismatch in foreignbanks’ balance sheet and exposes them to volatility of the exchange rate1on its funds.As a result, when ER volatility goes up, both foreign banks and institutional investors(especially whose assets are non-USD denominated) perceive USD fluctuations as a SLM-portfolio return risk and cut back on their exposure to the SLM. I provide direct evidencefor such a retrenchment by foreign banks from the SLM in times of higher ER uncertaintyusing the DealScan data on loan transactions in the SLM. As foreign banks retrench, USbanks are compelled to take up the slack.One might conjecture that with a drop in competition from foreign banks, US banks will step in and seize more profits on the excess demand for loanable funds.On thecontrary, US banks cut back lendin