Safe Collateral, Arm’s-Length Credit: Evidence from the Commercial Real Estate Market
研究商业房地产市场中，抵押贷款证券化（CMBS）为低违约风险的房产提供资金，而银行为可能需要重新谈判的房产提供资金，利用2007-2009年CMBS市场崩溃作为自然实验验证了这一模型。
Abstract Two main creditors exist in commercial real estate: arm’s-length investors and banks. We model commercial mortgage-backed securities (CMBS) as the less informed source of credit. In equilibrium, these investors fund properties with a low probability of distress, and banks fund properties that may require renegotiation. As a natural experiment, we test the model using the collapse of the CMBS market during 2007–2009, when banks funded both collateral types. Our results show that properties likely to have been securitized were less likely to default or be renegotiated. This suggests that securitization in this market funds safe collateral.