Safe Collateral, Arm's-Length Credit: Evidence from the Commercial Real Estate Market

• 成果类型: Article
• 署名作者: Black, Lamont K.; Krainer, John R.; Nichols, Joseph B.
• 署名单位: DePaul University; Federal Reserve System - USA; Federal Reserve System Board of Governors
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhaa031
• 发表日期: 2020
• 页码: 5173
• 关键词: Securitization; CHOICE; loans

摘要

Two main creditors exist in commercial real estate: arm's-length investors and banks. We model commercial mortgage-backed securities (CMBS) as the less informed source of credit. In equilibrium, these investors fund properties with a low probability of distress, and banks fund properties that may require renegotiation. As a natural experiment, we test the model using the collapse of the CMBS market during 2007-2009, when banks funded both collateral types. Our results show that properties likely to have been securitized were less likely to default or be renegotiated. This suggests that securitization in this market funds safe collateral.