被撤回的出版物: Mortgage Finance and Climate Change: Securitization Dynamics in the Aftermath of Natural Disasters (Retracted article. See vol. 38, pg. 1594, 2025)

• 成果类型: Article; Retracted Publication
• 署名作者: Ouazad, Amine; Kahn, Matthew E.
• 署名单位: Universite de Montreal; HEC Montreal; University of Southern California
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhab124
• 发表日期: 2022
• 页码: 3617
• 关键词: BACKED SECURITIES; RISK; equilibrium; MARKET; inference; default; prices; MODEL

摘要

Using the government-sponsored enterprises' sharp securitization rules, this paper provides evidence that, in the aftermath of natural disasters, lenders are more likely to approve mortgages that can be securitized, thereby transferring climate risk. The identification strategy uses the time-varying conforming loan limits above which the government-sponsored enterprises do not securitize mortgages. Natural disasters lead to more securitization right below the limit, suggesting an increased option value of securitization. A model identified using indirect inference simulates increasing disaster risk without GSEs. Mortgage credit supply would decline in flood zones and lenders would have a greater incentive to screen mortgages.