金融监管与证券化:来自次级贷款的证据

Benjamin J. Keys, Tanmoy Mukherjee, Amit Seru, Vikrant Vig
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引用次数: 301

摘要

我们研究了现有法规对抵押贷款发放质量的影响,在贷款发放到分销(OTD)市场。otc市场的信息不对称会导致出借方的道德风险问题。我们发现,利用证券化难易程度这一看似外生的变量来源,贷款发放的质量与监管程度成反比:监管越严格的银行发放的贷款质量越差。我们将这一结果解释为一个可能的证据,即监管宽松的发起人资本结构的脆弱性可以减轻道德风险。此外,我们发现,要求抵押贷款经纪人承担风险的激励措施以及银行内部更强大的风险管理部门,在一定程度上缓解了这种情况下的道德风险问题。最后,抵押贷款池中有更多的贷款机构与更高质量的贷款有关,这表明,通过增加贷款机构之间的竞争,更清晰的相对绩效评估也可以在一定程度上缓解道德风险问题。总的来说,我们的证据表明,市场力量而不是监管可能在减轻otc市场的道德风险方面更有效。调查结果提醒人们警惕那些对贷款机构实施更严格监管的政策,这些政策未能使贷款机构的动机与抵押贷款支持证券的投资者保持一致。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Financial Regulation and Securitization: Evidence from Subprime Loans
We examine the consequences of existing regulations on the quality of mortgage loans originations in the originate-to-distribute (OTD) market. The information asymmetries in the OTD market can lead to moral hazard problems on the part of lenders. We find, using a plausibly exogenous source of variation in the ease of securitization, that the quality of loan origination varies inversely with the amount of regulation: more regulated lenders originate loans of worse quality. We interpret this result as a possible evidence that the fragility of lightly regulated originators' capital structure can mitigate moral hazard. In addition, we find that incentives which require mortgage brokers to have [`]skin in the game' and stronger risk management departments inside the bank partially alleviate the moral hazard problem in this setting. Finally, having more lenders inside a mortgage pool is associated with higher quality loans, suggesting that sharper relative performance evaluation made possible by more competition among contributing lenders can also mitigate the moral hazard problem to some extent. Overall, our evidence suggests that market forces rather than regulation may have been more effective in mitigating moral hazard in the OTD market. The findings caution against policies that impose stricter lender regulations which fail to align lenders' incentives with the investors of mortgage-backed securities.
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