Can Equity Volatility Explain the Global Loan Pricing Puzzle?
研究了企业波动性差异是否导致欧美企业贷款利率差异，发现使用股票波动性作为代理变量会导致估计偏差，纠正后欧美贷款利差无显著差异。
This paper examines whether unobservable differences in firm volatility are responsible for the global loan pricing puzzle, which is the observation that corporate loan interest rates appear to be lower in Europe than in the United States. We analyze whether equity volatility, an error prone measure of firm volatility, can explain this difference in loan spreads. We show that using equity volatility in OLS regressions will result in biased and inconsistent estimates of the difference in U.S. and European loan spreads. We use instrumental variable methods to identify consistent estimates and find no difference in U.S. and European loan spreads.