Monitoring in Originate-to-Distribute Lending: Reputation versus Skin in the Game

• 成果类型: Article
• 署名作者: Winton, Andrew; Yerramilli, Vijay
• 署名单位: University of Minnesota System; University of Minnesota Twin Cities; University of Houston System; University of Houston
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhab012
• 发表日期: 2021
• 页码: 5886
• 关键词: LOAN SALES; financial intermediation; securitization; COMPETITION; conflicts; price; MODEL; lead

摘要

Banks face liquidity and capital pressures that favor selling off the loans they originate, but loan sales undermine their monitoring incentives. A bank's loan default history is a noisy measure of its past monitoring choices, which can serve as a reputation mechanism to incentivize current monitoring. In equilibrium, higher reputation banks monitor (weakly) more intensively; if retention is credible, they generally retain less of the loans they originate. Monitoring is difficult to sustain in periods with uncommonly large spikes in loan demand (booms), especially for low-reputation banks, which are more likely to accommodate boom demand and forgo monitoring.