抵押贷款市场金融中介的时变价格

IF 7.6 1区经济学 Q1 BUSINESS, FINANCE

Journal of Finance Pub Date : 2024-06-04 DOI:10.1111/jofi.13358

ANDREAS FUSTER, STEPHANIE H. LO, PAUL S. WILLEN

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引用次数: 0

摘要

我们引入了一种新的衡量标准，用于衡量金融中介机构将抵押贷款借款人与资本市场投资者联系起来所收取的价格。根据贷款人的行政定价数据，我们记录了中介价格对需求变化的强烈反应，反映了抵押贷款发放者的能力限制。价格与数量的正相关性降低了量化宽松政策的传导性。我们还发现，在 2008 年至 2014 年期间，这一价格有明显的上升趋势，这可能是由于抵押贷款市场的法律和监管负担加重所致。这一趋势导致借款人在此期间付出了近 1,000 亿美元的隐性成本。

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The Time-Varying Price of Financial Intermediation in the Mortgage Market

We introduce a new measure of the price charged by financial intermediaries for connecting mortgage borrowers with capital market investors. Based on administrative lender pricing data, we document that the price of intermediation reacts strongly to variation in demand, reflecting capacity constraints of mortgage originators. This positive comovement of price with quantity reduced the pass-through of quantitative easing. We also find a notable upward trend in this price between 2008 and 2014, likely due to increased legal and regulatory burden in the mortgage market. The trend led to an implicit cost to borrowers of nearly $100 billion over this period.

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来源期刊

Journal of Finance Multiple-

CiteScore

12.90

自引率

2.50%

发文量

期刊介绍： The Journal of Finance is a renowned publication that disseminates cutting-edge research across all major fields of financial inquiry. Widely regarded as the most cited academic journal in finance, each issue reaches over 8,000 academics, finance professionals, libraries, government entities, and financial institutions worldwide. Published bi-monthly, the journal serves as the official publication of The American Finance Association, the premier academic organization dedicated to advancing knowledge and understanding in financial economics. Join us in exploring the forefront of financial research and scholarship.