Securitization and moral hazard: Evidence from credit score cutoff rules

• 成果类型: Article
• 署名作者: Bubb, Ryan; Kaufman, Alex
• 署名单位: New York University; Federal Reserve System - USA; Federal Reserve System Board of Governors
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2014.01.005
• 发表日期: 2014
• 页码: 1-18
• 关键词: FINANCIAL CRISIS; moral hazard; mortgages; securitization; Credit scores

摘要

A growing literature exploits credit score cutoff rules as a natural experiment to estimate the moral hazard effect of securitization on lender screening. However, these cutoff rules can be traced to underwriting guidelines for originators, not for securitizers. Moreover, loan-level data reveal that lenders change their screening at credit score cutoffs in the absence of changes in the probability of securitization. Credit score cutoff rules thus cannot be used to learn about the moral hazard effect of securitization on underwriting. By showing that this evidence has been misinterpreted, our analysis should move beliefs away from the conclusion that securitization led to lax screening. (C) 2014 Elsevier B.V. All rights reserved.