再谈判摩擦的价值：来自商业地产的证据

IF 3.1 1区经济学 Q2 BUSINESS, FINANCE

Journal of Financial Intermediation Pub Date : 2025-04-01 DOI:10.1016/j.jfi.2025.101144

David Glancy , Robert Kurtzman , Lara Loewenstein

{"title":"再谈判摩擦的价值：来自商业地产的证据","authors":"David Glancy , Robert Kurtzman , Lara Loewenstein","doi":"10.1016/j.jfi.2025.101144","DOIUrl":null,"url":null,"abstract":"<div><div>Loan modifications can ease borrowers’ financial burdens and mitigate loan losses. However, the threat of future strategic renegotiation may cause lenders to tighten ex-ante credit provision. We evaluate this trade-off in a dynamic model of loan underwriting with frictional renegotiation and calibrate it using loan-level CRE data from banks and CMBS. We find that modification frictions can rationalize a number of empirical facts regarding how CRE loan underwriting and performance differ across lenders. Key to this result, high frictions to modifying CMBS loans reduce renegotiation, increase debt capacity, and cause high-leverage-demand borrowers to select into the CMBS market. Consequently, easing CMBS modification frictions reduces welfare by restricting the menu of LTVs available in the market.</div></div>","PeriodicalId":51421,"journal":{"name":"Journal of Financial Intermediation","volume":"62 ","pages":"Article 101144"},"PeriodicalIF":3.1000,"publicationDate":"2025-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"The value of renegotiation frictions: Evidence from commercial real estate\",\"authors\":\"David Glancy , Robert Kurtzman , Lara Loewenstein\",\"doi\":\"10.1016/j.jfi.2025.101144\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><div>Loan modifications can ease borrowers’ financial burdens and mitigate loan losses. However, the threat of future strategic renegotiation may cause lenders to tighten ex-ante credit provision. We evaluate this trade-off in a dynamic model of loan underwriting with frictional renegotiation and calibrate it using loan-level CRE data from banks and CMBS. We find that modification frictions can rationalize a number of empirical facts regarding how CRE loan underwriting and performance differ across lenders. Key to this result, high frictions to modifying CMBS loans reduce renegotiation, increase debt capacity, and cause high-leverage-demand borrowers to select into the CMBS market. Consequently, easing CMBS modification frictions reduces welfare by restricting the menu of LTVs available in the market.</div></div>\",\"PeriodicalId\":51421,\"journal\":{\"name\":\"Journal of Financial Intermediation\",\"volume\":\"62 \",\"pages\":\"Article 101144\"},\"PeriodicalIF\":3.1000,\"publicationDate\":\"2025-04-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Financial Intermediation\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S1042957325000129\",\"RegionNum\":1,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Financial Intermediation","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S1042957325000129","RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}

引用次数: 0

摘要

贷款修改可以减轻借款人的财务负担，减轻贷款损失。然而，未来战略重新谈判的威胁可能会导致银行收紧事前信贷供应。我们在一个带有摩擦重新谈判的贷款承销动态模型中评估这种权衡，并使用来自银行和CMBS的贷款级CRE数据对其进行校准。我们发现，修改摩擦可以使一些关于商业地产贷款承销和绩效在贷方之间差异的经验事实合理化。这一结果的关键是，修改CMBS贷款的高摩擦减少了重新谈判，增加了债务能力，并导致高杠杆需求的借款人选择进入CMBS市场。因此，缓解CMBS修改摩擦通过限制市场上可用的ltv菜单来减少福利。

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

The value of renegotiation frictions: Evidence from commercial real estate

Loan modifications can ease borrowers’ financial burdens and mitigate loan losses. However, the threat of future strategic renegotiation may cause lenders to tighten ex-ante credit provision. We evaluate this trade-off in a dynamic model of loan underwriting with frictional renegotiation and calibrate it using loan-level CRE data from banks and CMBS. We find that modification frictions can rationalize a number of empirical facts regarding how CRE loan underwriting and performance differ across lenders. Key to this result, high frictions to modifying CMBS loans reduce renegotiation, increase debt capacity, and cause high-leverage-demand borrowers to select into the CMBS market. Consequently, easing CMBS modification frictions reduces welfare by restricting the menu of LTVs available in the market.

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 Intermediation BUSINESS, FINANCE-

CiteScore

8.60

自引率

7.70%

发文量

期刊介绍： The Journal of Financial Intermediation seeks to publish research in the broad areas of financial intermediation, financial market structure, corporate finance, risk management, and valuation.