Selection, Leverage, and Default in the Mortgage Market
研究抵押贷款杠杆与违约之间的相关性是由道德风险（杠杆的因果效应）还是逆向选择（高风险借款人选择更大贷款）导致的，利用期权可调利率抵押贷款合同结构和2008年指数意外分化作为自然实验，发现逆向选择解释了60%的相关性，道德风险解释了40%。
Abstract We ask whether the correlation between mortgage leverage and default is due to moral hazard (the causal effect of leverage) or adverse selection (ex ante risky borrowers choosing larger loans). We separate these information asymmetries using a natural experiment resulting from the contract structure of option adjustable-rate mortgages and unexpected 2008 divergence of indexes that determine rate adjustments. Our point estimates suggest that moral hazard is responsible for 40$\%$ of the correlation in our sample, while adverse selection explains 60$\%$. We calibrate a simple model to show that leverage regulation must weigh default prevention against distortions due to adverse selection.