Asymmetric Information and Vertical Relations in the US Mortgage Industry

本研究项目研究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。金融中介包括三项活动：（i）从借款人处获得贷款;（ii）创建抵押担保证券;（iii）为这些贷款提供服务。美国抵押贷款供应链的一个独特特征是，每年证券化的贷款中约有50%是由不同的机构发放和提供服务的。虽然零售按揭市场上有超过5，000家活跃的按揭贷款发起人，但只有不到50家金融机构供应上游二级市场90%以上的证券。由于贷款在证券化之前经常被多次转售，金融中介的成本包括消费者因供应链各级不同当事方之间存在的信息不对称而间接支付的更高费用，以及具有市场支配力潜力的公司从买卖这些资产中获取的利润率。该项目的目标是量化信息和市场力量摩擦在确定中介成本方面的相对重要性，并最终量化它们对消费者借贷成本的影响，该项目的主要重点是批发和二级市场之间的相互作用，特别是批发价格和事后贷款业绩的决定因素。这项研究的一个独特之处是使用了来自领先的批发贷款交易平台之一的抵押贷款高频拍卖数据。本研究的第一个目标是收集第一个可用的数据集，跟踪资金从起源到证券化的供应链。这是通过构建一个完整的历史交易，价格，证券选择，并为样本的抵押贷款还款决定。第二个目标是构建计量经济学测试来衡量市场中信息不对称的重要性。第三个目标是估计一个结构模型的贷款估值，使用数据的贷款收购（投标）和证券化（安全特性的选择）。该模型将用于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建模框架来研究贷款的证券化和收购，从而为文献做出贡献;使用工业组织和金融文献中的工具。该奖项反映了NSF的法定使命，并通过使用基金会的知识价值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.