抵押贷款市场中的选择、杠杆和违约

Arpita Gupta, Christopher Hansman
{"title":"抵押贷款市场中的选择、杠杆和违约","authors":"Arpita Gupta, Christopher Hansman","doi":"10.2139/ssrn.3315896","DOIUrl":null,"url":null,"abstract":"\n We ask whether the correlation between mortgage leverage and default is due to moral hazard (the causal effect of leverage) or adverse selection (ex ante risky borrowers choosing larger loans). We separate these information asymmetries using a natural experiment resulting from the contract structure of option adjustable-rate mortgages and unexpected 2008 divergence of indexes that determine rate adjustments. Our point estimates suggest that moral hazard is responsible for 40$\\%$ of the correlation in our sample, while adverse selection explains 60$\\%$. We calibrate a simple model to show that leverage regulation must weigh default prevention against distortions due to adverse selection.","PeriodicalId":21047,"journal":{"name":"Real Estate eJournal","volume":null,"pages":null},"PeriodicalIF":0.0000,"publicationDate":"2020-02-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"27","resultStr":"{\"title\":\"Selection, Leverage, and Default in the Mortgage Market\",\"authors\":\"Arpita Gupta, Christopher Hansman\",\"doi\":\"10.2139/ssrn.3315896\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"\\n We ask whether the correlation between mortgage leverage and default is due to moral hazard (the causal effect of leverage) or adverse selection (ex ante risky borrowers choosing larger loans). We separate these information asymmetries using a natural experiment resulting from the contract structure of option adjustable-rate mortgages and unexpected 2008 divergence of indexes that determine rate adjustments. Our point estimates suggest that moral hazard is responsible for 40$\\\\%$ of the correlation in our sample, while adverse selection explains 60$\\\\%$. We calibrate a simple model to show that leverage regulation must weigh default prevention against distortions due to adverse selection.\",\"PeriodicalId\":21047,\"journal\":{\"name\":\"Real Estate eJournal\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2020-02-28\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"27\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Real Estate eJournal\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.3315896\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Real Estate eJournal","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3315896","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 27

摘要

我们问抵押贷款杠杆和违约之间的相关性是由于道德风险(杠杆的因果效应)还是逆向选择(事先高风险的借款人选择更大的贷款)。我们利用期权可调利率抵押贷款的合约结构和2008年决定利率调整的指数的意外背离所产生的自然实验分离了这些信息不对称。我们的点估计表明,在我们的样本中,道德风险对相关性的贡献率为40%,而逆向选择对相关性的贡献率为60%。我们校准了一个简单的模型,以表明杠杆监管必须权衡违约预防与逆向选择造成的扭曲。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Selection, Leverage, and Default in the Mortgage Market
We ask whether the correlation between mortgage leverage and default is due to moral hazard (the causal effect of leverage) or adverse selection (ex ante risky borrowers choosing larger loans). We separate these information asymmetries using a natural experiment resulting from the contract structure of option adjustable-rate mortgages and unexpected 2008 divergence of indexes that determine rate adjustments. Our point estimates suggest that moral hazard is responsible for 40$\%$ of the correlation in our sample, while adverse selection explains 60$\%$. We calibrate a simple model to show that leverage regulation must weigh default prevention against distortions due to adverse selection.
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
自引率
0.00%
发文量
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
确定
请完成安全验证×
copy
已复制链接
快去分享给好友吧!
我知道了
右上角分享
点击右上角分享
0
联系我们:info@booksci.cn Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术官方微信