Determinants of Credit Spreads in Commercial Mortgages
研究了商业抵押贷款信用利差的横截面和时间序列决定因素，发现风险较高、投资灵活性大的物业类型对应更高利差，贷款价值比与利差关系较弱但贷款机构平均贷款价值比与利差正相关，且市场表现不佳后利差扩大、贷款条件收紧。
This article examines the cross-sectional and time-series determinants of commercial mortgage credit spreads as well as the terms of the mortgages. Consistent with theory, our empirical evidence indicates that mortgages on property types that tend to be riskier and have greater investment flexibility exhibit higher spreads. The relationship between the loan-to-value (LTV) ratio and spreads is relatively weak, which is probably due to the endogeneity of the LTV choice. However, the average LTV ratio per lender has a strong positive relation with credit spreads, which is consistent with the idea that lenders specialize in mortgages with either high or low levels of risk, and that high LTV mortgages require substantially higher spreads. Finally, we observe that spreads widen and mortgage terms become stricter after periods of poor performance of the real estate markets and after periods of greater default rates of outstanding real estate loans.