Advantageous selection with intermediaries: a study of GSE-securitized mortgage loans

• 成果类型: Article
• 署名作者: Tsai, Hsin-Tien
• 署名单位: National University of Singapore
• 刊物名称: RAND JOURNAL OF ECONOMICS
• ISSN/ISSBN: 0741-6261
• DOI: 10.1111/1756-2171.12454
• 发表日期: 2023
• 页码: 668-694
• 关键词: Adverse selection; imperfect competition; insurance markets; INFORMATION; welfare

摘要

This research studies the effects of mortgage subsidies and asymmetric information in the US mortgage market. I exploit discontinuities in interest rates generated by pricing rules and find patterns consistent with advantageous selection. I estimate an industry model that highlights the relationship between mortgage subsidies, intermediary lenders' incentives, and borrowers' advantageous selection. The model shows that mortgage subsidies enable advantageous selection, creating a deadweight loss of $7.90 billion. The counterfactual analysis reveals that pricing borrowers' private information eliminates advantageous selection only if mortgages are not subsidized. Without the mortgage subsidy, pricing borrowers' private information improves efficiency by $728.58 million.