Competition, Product differentiation and Crises: Evidence from 18 million securitized loans

• 成果类型: Article
• 署名作者: Haslag, Peter; Srinivasan, Kandarp; Thakor, Anjan, V
• 署名单位: Vanderbilt University; Northeastern University; Washington University (WUSTL); Massachusetts Institute of Technology (MIT)
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2024.103947
• 发表日期: 2024
• 关键词: Securitization; COMPETITION; product differentiation; mortgage; Financial crisis

摘要

RMBS sponsors contributed to the rise of new product features in securitized mortgages prior to the 2008 financial crisis. Using a regulatory shock to sponsor competition , we show securitization influences the design of mortgage contracts, empirically demonstrating a unique, feedback loop of product differentiation from the derived security (MBS) to the underlying asset (loans). Product differentiation in Prime MBS collateral rises faster than that of non-prime in the early boom period (2000-2004), a strategic choice by MBS sponsors in the face of increasing competition. At very high levels of competition, product differentiation targets non-prime (marginal) borrowers. We develop a theoretical framework for sponsor-induced product differentiation that explains these empirical findings.