Screening using a menu of contracts: A structural model for lending markets

• 成果类型: Article
• 署名作者: Polo, Alberto; Taburet, Arthur; Vo, Quynh-Anh
• 署名单位: Bank of England; Duke University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2025.104056
• 发表日期: 2025
• 关键词: Menu of contracts; screening; structural models

摘要

When lenders screen borrowers using a menu, they generate a contractual externality by rendering the composition of their competitors' borrowers worse. Using data from the UK mortgage market and a structural model of screening with endogenous menus, this paper quantifies the impact of asymmetric information on equilibrium contracts and welfare. Counterfactual simulations show that, because of the externality, there is too much screening along the loan-to-value dimension. The deadweight loss, expressed in borrower utility, is equivalent to an interest rate increase of 30 basis points (a 15% increase) on all loans.