最便宜的定价、最佳MBS证券化和福利影响

IF 10.4 1区经济学 Q1 BUSINESS, FINANCE

Journal of Financial Economics Pub Date : 2023-10-01 DOI:10.1016/j.jfineco.2023.07.001

Yesol Huh, You Suk Kim

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引用次数: 0

摘要

我们研究了代理抵押贷款支持证券（MBS）市场中的最优证券化。许多MBS是在待公布的流动性市场（TBA）中交易的，然而，由于最便宜的交付定价，这会导致不利的选择。我们发现，贷款人单独汇集高价值贷款，并在流动性较低的市场中进行交易。我们估计了MBS池化和交易的模型，以研究池化政策对福利的影响。TBA市场结构在效率和公平之间产生权衡；更广泛的资金池增加了流动性和平均福利，但导致了从小额贷款到大额贷款的更大交叉补贴。最大限度地降低成本或限制战略联营会导致更为倒退的再分配。

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Cheapest-to-deliver pricing, optimal MBS securitization, and welfare implications

We study optimal securitization in the agency mortgage-backed securities (MBS) market. Many MBS are traded in the liquid to-be-announced (TBA) market, which however induces adverse selection due to cheapest-to-deliver pricing. We find that lenders pool high-value loans separately and trade them in a less liquid market. We estimate a model of MBS pooling and trading to study welfare implications of pooling policies. TBA market structure produces a trade-off between efficiency and equity; broader pooling increases liquidity and average welfare, but results in a larger cross-subsidy from smaller loans to larger loans. Minimizing costs or limiting strategic pooling results in a more regressive redistribution.

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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.