使用合同菜单筛选：借贷市场的结构模型

IF 10.4 1区经济学 Q1 BUSINESS, FINANCE

Journal of Financial Economics Pub Date : 2025-04-16 DOI:10.1016/j.jfineco.2025.104056

Alberto Polo , Arthur Taburet , Quynh-Anh Vo

{"title":"使用合同菜单筛选：借贷市场的结构模型","authors":"Alberto Polo , Arthur Taburet , Quynh-Anh Vo","doi":"10.1016/j.jfineco.2025.104056","DOIUrl":null,"url":null,"abstract":"<div><div>When lenders screen borrowers using a menu, they generate a contractual externality by rendering the composition of their competitors’ borrowers worse. Using data from the UK mortgage market and a structural model of screening with endogenous menus, this paper quantifies the impact of asymmetric information on equilibrium contracts and welfare. Counterfactual simulations show that, because of the externality, there is too much screening along the loan-to-value dimension. The deadweight loss, expressed in borrower utility, is equivalent to an interest rate increase of 30 basis points (a 15% increase) on all loans.</div></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"169 ","pages":"Article 104056"},"PeriodicalIF":10.4000,"publicationDate":"2025-04-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Screening using a menu of contracts: A structural model for lending markets\",\"authors\":\"Alberto Polo , Arthur Taburet , Quynh-Anh Vo\",\"doi\":\"10.1016/j.jfineco.2025.104056\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><div>When lenders screen borrowers using a menu, they generate a contractual externality by rendering the composition of their competitors’ borrowers worse. Using data from the UK mortgage market and a structural model of screening with endogenous menus, this paper quantifies the impact of asymmetric information on equilibrium contracts and welfare. Counterfactual simulations show that, because of the externality, there is too much screening along the loan-to-value dimension. The deadweight loss, expressed in borrower utility, is equivalent to an interest rate increase of 30 basis points (a 15% increase) on all loans.</div></div>\",\"PeriodicalId\":51346,\"journal\":{\"name\":\"Journal of Financial Economics\",\"volume\":\"169 \",\"pages\":\"Article 104056\"},\"PeriodicalIF\":10.4000,\"publicationDate\":\"2025-04-16\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Financial Economics\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S0304405X25000649\",\"RegionNum\":1,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Financial Economics","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S0304405X25000649","RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}

引用次数: 0

摘要

当贷款人使用菜单筛选借款人时，他们通过使竞争对手的借款人构成更糟而产生了合同外部性。本文利用英国抵押贷款市场的数据和内生菜单筛选的结构模型，量化了信息不对称对均衡契约和福利的影响。反事实模拟表明，由于外部性，在贷款价值比维度上存在太多筛选。以借款人效用来表示的无谓损失相当于所有贷款的利率增加了30个基点（15%）。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

Screening using a menu of contracts: A structural model for lending markets

When lenders screen borrowers using a menu, they generate a contractual externality by rendering the composition of their competitors’ borrowers worse. Using data from the UK mortgage market and a structural model of screening with endogenous menus, this paper quantifies the impact of asymmetric information on equilibrium contracts and welfare. Counterfactual simulations show that, because of the externality, there is too much screening along the loan-to-value dimension. The deadweight loss, expressed in borrower utility, is equivalent to an interest rate increase of 30 basis points (a 15% increase) on all loans.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

Journal of Financial Economics Multiple-

CiteScore

15.80

自引率

4.50%

发文量

192

审稿时长

37 days

期刊介绍： The Journal of Financial Economics provides a specialized forum for the publication of research in the area of financial economics and the theory of the firm, placing primary emphasis on the highest quality analytical, empirical, and clinical contributions in the following major areas: capital markets, financial institutions, corporate finance, corporate governance, and the economics of organizations.