Collateral value uncertainty and mortgage credit provision

• 成果类型: Article
• 署名作者: Jiang, Erica Xuewei; Zhang, Anthony Lee
• 署名单位: University of Southern California; University of Chicago
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2025.104054
• 发表日期: 2025
• 关键词: Collateral; mortgages; price dispersion; Appraisals

摘要

Houses with higher value uncertainty receive less mortgage credit: mortgages backed by these houses are more likely to be rejected, have higher interest rates, and have lower loan-to-price ratios. The relationship between house value uncertainty and credit availability is driven partly by a classic channel in which uncertainty lowers debt recovery rates, and partly by a novel channel where more uncertain appraisals make regulatory constraints on loan size more likely to bind. We build a structural model to quantify the effects of each channel, and show how a shift toward computerized asset appraisals could influence credit access.