Security Design in Non-Exclusive Markets with Asymmetric Information

• 成果类型: Article
• 署名作者: Asriyan, Vladimir; Vanasco, Victoria
• 署名单位: ICREA; Centre de Recerca en Economia Internacional (CREI); Pompeu Fabra University; Centre de Recerca en Economia Internacional (CREI); Pompeu Fabra University
• 刊物名称: REVIEW OF ECONOMIC STUDIES
• ISSN/ISSBN: 0034-6527
• DOI: 10.1093/restud/rdad038
• 发表日期: 2024
• 页码: 690-719
• 关键词: Asset markets; competitive equilibria; insurance markets; moral hazard; liquidity; MODEL; game; CONTRACTS; sales; skin

摘要

We study the problem of a seller (e.g. a bank) who is privately informed about the quality of her asset and wants to exploit gains from trade with uninformed buyers (e.g. investors) by issuing securities backed by her asset cash flows. In our setting, buyers post menus of contracts to screen the seller, but the seller cannot commit to trade with only one buyer, i.e. markets are non-exclusive. We show that non-exclusive markets behave very differently from exclusive ones: (1) separating contracts are never part of equilibrium; (2) mispricing of claims faced by the seller is always greater than in exclusive markets; (3) there is always a semi-pooling equilibrium where all sellers issue the same debt contract priced at average-valuation, and sellers of low-quality assets issue remaining cash flows at low-valuation; (4) market liquidity can be higher or lower than in exclusive markets, but (5) the average quality of originated assets is always lower. Our model's predictions are consistent with empirical evidence on the issuance and pricing of mortgage-backed securities, and we use the theory to evaluate recent reforms aimed at enhancing transparency and exclusivity in markets.