Reexamining the Empirical Relation between Loan Risk and Collateral: The Roles of Collateral Characteristics and Types
Reexamining the Empirical Relation between Loan Risk and Collateral: The Roles of Collateral Characteristics and Types
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重新审视贷款风险与抵押品之间的经验关系：抵押品特征和类型的作用
DOI：
10.2139/ssrn.2481055
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发表时间：
2011
期刊：
影响因子：
--
通讯作者：
V. Ioannidou
中科院分区：
文献类型：
--
作者：
Allen N. Berger;W. Frame;V. Ioannidou
本文对有关贷款风险与抵押品关系的文献中相互矛盾的实证结果提出了可能的解释。具体地说，我们假设不同的经济特征或抵押品质押类型可能与经济理论所暗示的四种不同风险抵押品渠道的经验主导地位有关。就我们的样本而言，抵押品总体上与较低的贷款风险溢价和较高的贷款后不良(拖欠或违约)概率有关。这一发现表明，抵押品被质押的主要原因是，银行要求显著风险较高的借款人提供抵押品(“贷款人选择”效应)，而较低的风险溢价是因为担保贷款在违约时损失较低(“减损”效应)。我们还发现，风险抵押品的渠道取决于抵押品的经济特征和类型。贷款人选择效应似乎对外部抵押品尤其重要，对流动抵押品的“风险转移”或“减少损失”效应，以及对不可转移抵押品的“借款人选择”效应。在抵押品类型中，我们发现，贷款人选择效应对于住宅房地产抵押品尤为强烈，而风险转移效应对于质押存款和银行担保是重要的。我们的结果表明，现有的风险抵押品文献中相互矛盾的结果可能是因为不同的样本可能由具有不同经济特征的抵押贷款或不同类型的抵押品主导。
This paper offers a possible explanation for the conflicting empirical results in the literature concerning the relation between loan risk and collateral. Specifically, we posit that different economic characteristics or types of collateral pledges may be associated with the empirical dominance of the four different risk-collateral channels implied by economic theory. For our sample, collateral overall is associated with lower loan risk premiums and a higher probability of ex post loan nonperformance (delinquency or default). This finding suggests that the dominant reason collateral is pledged is that banks require collateral from observably riskier borrowers ("lender selection" effect), while lower risk premiums arise because secured loans carry lower losses given default ("loss mitigation" effect). We also find that the risk-collateral channels depend on the economic characteristics and types of collateral. The lender selection effect appears to be especially important for outside collateral, the "risk-shifting" or "loss mitigation" effects for liquid collateral, and the "borrower selection" effect for nondivertible collateral. Among collateral types, we find that the lender selection effect is particularly strong for residential real estate collateral and that the risk shifting effect is important for pledged deposits and bank guarantees. Our results suggest that the conflicting results in the extant risk-collateral literature may be because different samples may be dominated by collateralized loans with different economic characteristics or different types of collateral.
影响因子：
4
作者：
Douglas Gale;M. Hellwig
通讯作者：
Douglas Gale;M. Hellwig