Asymmetric information in securitization: An empirical assessment

• 成果类型: Article
• 署名作者: Albertazzi, Ugo; Eramo, Ginette; Gambacorta, Leonardo; Salleo, Carmelo
• 署名单位: European Central Bank; Bank of Italy; European Central Bank; Bank for International Settlements (BIS)
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2014.11.002
• 发表日期: 2015
• 页码: 33-49
• 关键词: Securitization; asymmetric information; reputation

摘要

Asymmetric information in securitization deals is analyzed based on a unique dataset comprising a million mortgages, both securitized and not, and using a methodology, previously applied to insurance data, that looks at the correlation between risk transfer and default probability. The main finding is that, for given observable characteristics, securitized mortgages have a lower default probability than non-securitized ones. We show that this finding is consistent with banks caring about their reputation for not selling lemons. (C) 2014 Elsevier B.V. All rights reserved.