中介机构的有利选择:GSE证券化抵押贷款的研究

IF 2.8 3区经济学 Q1 ECONOMICS

Rand Journal of Economics Pub Date : 2023-10-17 DOI:10.1111/1756-2171.12454

Hsin‐Tien Tsai

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引用次数: 0

摘要

摘要本文研究了抵押贷款补贴和信息不对称对美国抵押贷款市场的影响。我利用定价规则产生的利率不连续性，找到与有利选择一致的模式。我估计一个行业模型，突出抵押贷款补贴，中间贷款人的激励和借款人的有利选择之间的关系。该模型显示，抵押贷款补贴促成了有利选择，造成了79亿美元的无谓损失。反事实分析表明，只有在抵押贷款没有补贴的情况下，对借款人的私人信息进行定价才会消除有利选择。在没有抵押贷款补贴的情况下，对借款人的私人信息进行定价将使效率提高7.2858亿美元。

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Advantageous selection with intermediaries: a study of GSE‐securitized mortgage loans

Abstract This research studies the effects of mortgage subsidies and asymmetric information in the US mortgage market. I exploit discontinuities in interest rates generated by pricing rules and find patterns consistent with advantageous selection. I estimate an industry model that highlights the relationship between mortgage subsidies, intermediary lenders' incentives, and borrowers' advantageous selection. The model shows that mortgage subsidies enable advantageous selection, creating a deadweight loss of $7.90 billion. The counterfactual analysis reveals that pricing borrowers' private information eliminates advantageous selection only if mortgages are not subsidized. Without the mortgage subsidy, pricing borrowers' private information improves efficiency by $728.58 million.

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来源期刊

Rand Journal of Economics ECONOMICS-

CiteScore

4.60

自引率

4.30%

发文量

期刊介绍： The RAND Journal of Economics publishes theoretical and empirical research on industrial organization and closely related topics, including contracts, organizations, law and economics, and regulation. The RAND Journal of Economics, formerly the Bell Journal of Economics, is published quarterly by The RAND Corporation, in conjunction with Blackwell Publishing.