Credit Rationing, Income Exaggeration, and Adverse Selection in the Mortgage Market
研究借款人对未来信贷可得性的担忧如何缓解抵押贷款市场中的逆向选择和收入误报问题，发现低文件贷款的大部分额外风险源于可选择收入证明却未提供的借款人的逆向选择，且这些借款人更可能夸大收入。
ABSTRACT We examine the role of borrower concerns about future credit availability in mitigating the effects of adverse selection and income misrepresentation in the mortgage market. We show that the majority of additional risk associated with “low‐doc” mortgages originated prior to the Great Recession was due to adverse selection on the part of borrowers who could verify income but chose not to. We provide novel evidence that these borrowers were more likely to inflate or exaggerate their income. Our analysis suggests that recent regulatory changes that have essentially eliminated the low‐doc loan product would result in credit rationing against self‐employed borrowers.