When Are Modifications of Securitized Loans Beneficial to Investors?
研究了住房危机早期贷款修改对减少损失的效果，发现额外修改可使损失平均降低35.8%，且对高收入借款人更有利。
Loan modification is widely discussed as an alternative to foreclosure, but little research has focused on quantifying its effect on loan performance. I quantify this effect early in the housing crisis by exploiting exogenous variation in the incentives to modify securitized nonagency loans. An additional modification reduces loan losses by 35.8% relative to the average loss; this reduction suggests that the marginal benefit of modification likely exceeded the marginal cost. Consistent with the idea that high-income borrowers may be better equipped to withstand bad economic times, I find that modifications are especially beneficial when borrowers have larger loans. Received April 25, 2016; editorial decision March 24, 2017 by Editor Philip Strahan.