Mortgage Loan Flow Networks and Financial Norms
构建了一个中介网络理论模型，其中各中介的最优行为相互决定，导致异质性金融规范和系统性脆弱性。应用于2005-2007年美国抵押贷款中介网络，发现违约风险与网络位置密切相关，贷款质量可从模型中估计，凸显网络效应的重要性。
We develop a theoretical model of a network of intermediaries whose optimal behavior is jointly determined, leading to heterogeneous financial norms and systemic vulnerabilities. We apply the model to the network of U.S. mortgage intermediaries from 2005 to 2007, using a data set containing all private-label, fixed-rate mortgages, with loan flows defining links. Default risk was closely related to network position, evolving predictably among linked nodes, and loan quality estimated from the model was related to independent quality measures, altogether pointing to the vital importance of network effects in this market. Received April 20, 2016; editorial decision July 11, 2017 by Editor Stijn Van Nieuwerburgh.