Security Design in Non-Exclusive Markets with Asymmetric Information

IF 5.9 1区经济学 Q1 ECONOMICS

Review of Economic Studies Pub Date : 2023-04-06 DOI:10.1093/restud/rdad038

Vladimir Asriyan, Victoria Vanasco

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Abstract

Abstract We study the problem of a seller (e.g. a bank) who is privately informed about the quality of her asset and wants to exploit gains from trade with uninformed buyers (e.g. investors) by issuing securities backed by her asset cash flows. In our setting, buyers post menus of contracts to screen the seller, but the seller cannot commit to trade with only one buyer, i.e. markets are non-exclusive. We show that non-exclusive markets behave very differently from exclusive ones: (1) separating contracts are never part of equilibrium; (2) mispricing of claims faced by the seller is always greater than in exclusive markets; (3) there is always a semi-pooling equilibrium where all sellers issue the same debt contract priced at average-valuation, and sellers of low-quality assets issue remaining cash flows at low-valuation; (4) market liquidity can be higher or lower than in exclusive markets, but (5) the average quality of originated assets is always lower. Our model’s predictions are consistent with empirical evidence on the issuance and pricing of mortgage-backed securities, and we use the theory to evaluate recent reforms aimed at enhancing transparency and exclusivity in markets.

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信息不对称下非排他性市场的安全设计

我们研究了一个卖方(如银行)的问题，她私下知道自己的资产质量，并希望通过发行由她的资产现金流支持的证券，从与不知情的买方(如投资者)的交易中获利。在我们的设置中，买方发布合同菜单来筛选卖方，但卖方不能承诺只与一个买方进行交易，即市场是非排他性的。我们证明了非排他性市场与排他性市场的表现非常不同:(1)分离契约从来不是均衡的一部分;(2)卖方所面临的索赔错误定价总是比独家市场更严重;(3)总存在半池均衡，即所有卖方以平均估值发行相同的债务合同，而低质量资产的卖方以低估值发行剩余现金流;(4)市场流动性可高于或低于专属市场，但(5)原始资产的平均质量总是较低。我们的模型预测与抵押贷款支持证券的发行和定价的经验证据是一致的，我们使用该理论来评估最近旨在提高市场透明度和排他性的改革。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Review of Economic Studies ECONOMICS-

CiteScore

10.40

自引率

3.40%

发文量

期刊介绍： Founded in 1933 by a group of young British and American economists, The Review of Economic Studies aims to encourage research in theoretical and applied economics, especially by young economists. Today it is widely recognised as one of the core top-five economics journals. The Review is essential reading for economists and has a reputation for publishing path-breaking papers in theoretical and applied economics. The Review is committed to continuing to publish strong papers in all areas of economics. The Editors aim to provide an efficient and high-quality review process to the Review''s authors. Where articles are sent out for full review, authors receive careful reports and feedback. Since 1989 The Review has held annual May Meetings to offer young students in economics and finance the chance to present their research to audiences in Europe.