Asymmetric Information and Vertical Relations in the US Mortgage Industry

这项研究项目研究了传统银行和非银行贷款人在抵押贷款市场上提供的金融中介服务的成本。金融中介活动包括三项活动：(1)从借款人那里获得贷款；(2)创建抵押贷款支持证券；(3)为这些贷款提供服务。美国抵押贷款供应链的一个独特特点是，每年大约50%的证券化贷款是由不同的机构发起和提供服务的。虽然零售发债市场上活跃的按揭发起人超过5,000人，但在上游二手市场上，只有不到50家金融机构提供超过90%的证券。由于贷款在证券化之前往往要多次转售，金融中介的成本包括消费者间接支付的更高费用，这是由于供应链每一级不同各方之间存在不对称信息，以及具有市场影响力的公司从买卖这些资产中获得的利润率。这个项目的目标是量化信息和市场力量摩擦在决定中介成本以及最终对消费者借贷成本的影响方面的相对重要性。该项目的主要重点是批发和二级市场之间的相互作用，特别是批发价格和贷款后表现的决定因素。这项研究的一个独特特点是使用了来自领先的批发贷款交易平台之一的抵押贷款的高频拍卖数据。这项研究的第一个目标是收集第一个可用的数据集，跟踪从发起到证券化的资金供应链。这是通过为抵押贷款样本构建交易、价格、证券选择和偿还决策的完整历史来完成的。第二个目标是构建计量经济学测试，以衡量市场中信息不对称的重要性。第三个目标是利用贷款收购(投标)和证券化(证券特征选择)的数据，估计贷款估值的结构模型。这一模型将被用来量化中介成本的每个组成部分，并确定导致利润率和中介成本增加的市场缺陷的来源。该项目将通过开发一个新的模型框架来研究贷款的证券化和收购；使用产业组织和金融文献中的工具，从而对文献做出贡献。 该奖项反映了国家科学基金会的法定使命，并通过使用基金会的智力优势和更广泛的影响审查标准进行评估，被认为值得支持。

This research project studies the cost of financial intermediation services provided by traditional banks and non-bank lenders in the market for mortgages. Financial intermediation consists of three activities: (i) the acquisition of loans from borrowers, (ii) the creation of mortgage-backed securities, and (iii) the servicing of these loans. A unique feature of the supply chain of mortgages in the US is the fact that roughly 50% of loans that are securitized each year are originated and serviced by different institutions. While there exist over 5,000 mortgage originators active in the retail origination market, fewer than 50 financial institutions supply over 90% of securities in the secondary market upstream. Since loans are re-sold often multiple times before being securitized, the cost of financial intermediation includes higher fees indirectly paid by consumers due to the asymmetric information that exists between the different parties at each level of the supply chain, as well as the profits margins that firms with market power potential extract from buying and selling these assets. The objective of this project is to quantify the relative importance of information and market-power frictions in determining the cost of intermediation, and ultimately their impact on the borrowing cost of consumers.The main focus of the project is the interaction between the wholesale and secondary markets, and in particular the determinants of the wholesale prices and ex-post loan performance. A unique feature of the study is the use of high-frequency auction data for mortgages from one of the leading wholesale loan exchange platforms. The first objective of the study is to assemble the first available data set tracing the supply-chain of funds from origination to securitization. This is done by constructing a complete history of transactions, prices, security choices, and repayment decisions for a sample of mortgages. The second objective is to construct econometrics tests to measure the importance of asymmetric information in the market. The third objective is to estimate a structural model of loan valuation, using data on loan acquisition (bidding) and securitization (security characteristics choice). This model will be used to quantify each of the components of the cost of intermediation and to identify the sources of market imperfections that cause profit margins and intermediation costs to increase. The project will contribute to the literature by developing a new modeling framework to study the securitization and acquisition of loans; using tools from the Industrial Organization and Finance literatures. This award reflects NSF's statutory mission and has been deemed worthy of support through evaluation using the Foundation's intellectual merit and broader impacts review criteria.