逆向选择与气候风险:对Ouazad and Kahn(2022)的回应

IF 6.8 1区经济学 Q1 BUSINESS, FINANCE

Review of Financial Studies Pub Date : 2023-09-12 DOI:10.1093/rfs/hhad072

Michael LaCour-Little, Andrey Pavlov, Susan Wachter

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引用次数: 0

摘要

我们在Ouazad和Kahn(2022)的工作中发现了两个问题。纠正任何一个都会使原来的结果逆转。两个变化是使用正确的FHFA贷款限额为每个县和年度，并比较个人贷款金额与该限额正确。没有证据表明贷款人通过改变贷款发放和证券化行为来转移气候风险。我们的结果都没有质疑O&K模型作为逆向选择测试的价值和重要性。解决的问题和测试的设置很重要，应该随着时间的推移而重复。

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Adverse Selection and Climate Risk: A Response to Ouazad and Kahn (2022)

We identify two issues in the work of Ouazad and Kahn (2022). Correcting either reverses the original result. The two changes are to use the correct FHFA conforming loan limits for each county and year and to compare the individual loan amount to that limit correctly. There is no evidence that lenders transfer climate risk by altering loan origination and securitization behavior. None of our results calls into question the value and importance of the O&K model as a test for adverse selection. The question addressed and the setup of the test are important and should be replicated over time.

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来源期刊

Review of Financial Studies Multiple-

CiteScore

16.00

自引率

2.40%

发文量

期刊介绍： The Review of Financial Studies is a prominent platform that aims to foster and widely distribute noteworthy research in financial economics. With an expansive editorial board, the Review strives to maintain a balance between theoretical and empirical contributions. The primary focus of paper selection is based on the quality and significance of the research to the field of finance, rather than its level of technical complexity. The scope of finance within the Review encompasses its intersection with economics. Sponsoring The Society for Financial Studies, the Review and the Society appoint editors and officers through limited terms.