Econ Papers Daily / 期刊论文
抵押贷款证券化与一般均衡中的信息摩擦
Mortgage securitization and information frictions in general equilibrium
摘要
We develop a general equilibrium model of the U.S. mortgage market where securitization shapes households’ access to credit and housing. The model matches the long-run behavior of mortgage rates, credit growth, and house prices following the development of securitization. Securitization improves market efficiency but is subject to adverse selection: lenders are privately informed about mortgage quality. Surges in household defaults then drive down security prices, reducing lender liquidity and contracting credit supply. Applied to the Global Financial Crisis (GFC), the model replicates two-thirds of the contraction in residential mortgage credit observed in the data. How important were information frictions in accounting for these dynamics? We estimate an information-friction multiplier of around 1.2, suggesting a powerful amplification effect. Evaluating post-GFC credit guarantee policies, we find that expanded coverage has stabilized credit but guarantees remain underpriced. Pricing them to reflect the amplification effect of information frictions covers the associated fiscal costs and delivers welfare gains for all households.
中文摘要
我们构建了一个美国抵押贷款市场的一般均衡模型，其中证券化塑造了家庭获取信贷和住房的途径。该模型与证券化发展后抵押贷款利率、信贷增长和房价的长期行为相匹配。证券化提高了市场效率，但面临逆向选择问题：贷款机构对抵押贷款质量拥有私人信息。家庭违约激增随后压低证券价格，减少贷款机构流动性并收缩信贷供给。应用于全球金融危机（GFC）时，该模型复现了数据中观察到的住宅抵押贷款收缩的三分之二。信息摩擦在解释这些动态中起多大作用？我们估计信息摩擦乘数约为1.2，表明存在强大的放大效应。评估危机后信贷担保政策时，我们发现扩大覆盖范围稳定了信贷，但担保定价仍然偏低。将定价调整为反映信息摩擦的放大效应，可覆盖相关财政成本，并为所有家庭带来福利收益。