Lender Screening and the Role of Securitization: Evidence from Prime and Subprime Mortgage Markets
研究了美国住房市场繁荣与萧条期间，抵押贷款证券化如何通过证券化率和证券化时间两个渠道影响次级贷款市场中对低文件贷款发放者的筛选决策，发现次级贷款人决策变化发生在未向投资者报告的维度上。
This article examines the link between mortgage securitization and lender screening during the boom and bust of the U.S. housing market. Using comprehensive data on both prime and subprime securitized and bank-held loans, we provide evidence that securitization affected lenders' screening decisions in the subprime market for low-documentation loans through two channels: the securitization rate and the time it takes to securitize a loan. The change in decision-making by subprime lenders occurs on dimensions that are unreported to investors. Examining the time-series evolution of the securitization market further reinforces these findings. We exploit heterogeneity across subprime and prime markets to illustrate that the potential for moral hazard may be reduced with greater collection of hard information and increased monitoring of lenders. Our results suggest that the policy debate regarding securitization and lenders' underwriting standards should separately evaluate the agency and non-agency markets, with special attention toward the extent of soft information in assets being securitized. The Author 2012. Published by Oxford University Press on behalf of The Society for Financial Studies. All rights reserved. For Permissions, please e-mail: journals.permissions@oup.com., Oxford University Press.