The Effects of Securitization on Mortgage Market Yields: A Cointegration Analysis
研究了美国住房抵押贷款证券化对一级市场贷款收益率利差的影响，发现证券化比例每提高10%，贷款利率利差下降最多20个基点，且提前还款速度影响显著而违约风险不显著。
Securitization of the residential mortgage market has completely transformed the process of financing home loans in the U.S. over the last two decades. We examine the effects of securitization on yield spreads in the primary mortgage market. Cointegration techniques are employed to test the relationship between the increasing volume of mortgage securities over time and the yield spread on mortgage loan rates. We find that a 10% increase in the level of mortgage securitization as a proportion of total mortgage originations decreases yield spreads on home loans by as much as 20 basis points. Other results indicate that, while prepayment speed has a significant effect on mortgage yield spreads, default risk does not. We conclude that securitization of the residential mortgage market plays an important role in decreasing the cost of home loans.