To Securitize or to Price Credit Risk?
利用美国州边界止赎法差异带来的区域信用风险外生变化，发现贷款人对符合政府赞助企业（GSE）购买条件的抵押贷款进行证券化而非定价区域信用风险，而对不符合条件的贷款则提高利率。
Abstract Do lenders securitize or price loans in response to credit risk? Exploiting exogenous variation in regional credit risk due to foreclosure law differences along U.S. state borders, we find that lenders securitize mortgages that are eligible for sale to the government-sponsored enterprises (GSEs) rather than price regional credit risk. For non-GSE-eligible mortgages with no GSE buyback provision, lenders increase interest rates as they are unable to shift credit risk to loan purchasers. The results inform the debate surrounding the GSEs’ buyback provisions, the constant interest rate policy, and show that underpricing regional credit risk increases the GSEs’ debt holdings.