Mortgage Securitization and Shadow Bank Lending
研究发现，美国流动性覆盖率监管通过提高FHA担保贷款证券化后的二级市场价格，降低了非银行机构的融资成本，促使其放宽贷款标准并增加贷款发放，解释了2013-2015年间非银行机构在抵押贷款市场份额增长的22%。
Abstract We show how securitization affects the size of the nonbank lending sector through a novel price-based channel. We identify the channel using a regulatory spillover shock to the cross-section of mortgage-backed security prices: the U.S. liquidity coverage ratio. The shock increases secondary market prices for FHA-insured loans by granting them favorable regulatory status once securitized. Higher prices lower nonbanks’ funding costs, prompting them to loosen lending standards and originate more FHA-insured loans. This channel accounts for 22% of nonbanks’ growth in overall mortgage market share over 2013–2015. While the shock creates risks for financial stability, homeownership also increases.