The Real Effects of FAS 166/167 on Banks' Mortgage Approval and Sale Decisions

• 成果类型: Article
• 署名作者: Dou, Yiwei; Ryan, Stephen G.; Xie, Biqin
• 署名单位: New York University; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
• 刊物名称: JOURNAL OF ACCOUNTING RESEARCH
• ISSN/ISSBN: 0021-8456
• DOI: 10.1111/1475-679X.12204
• 发表日期: 2018
• 页码: 843-882
• 关键词: Shadow banking; liquidity risk; securitization; INVESTMENT; manage

摘要

We examine the real effects of FAS 166 and FAS 167 on banks' loan-level mortgage approval and sale decisions. Effective in 2010, these standards tightened the accounting for securitizations and consolidation of securitization entities, respectively, causing banks to recognize an estimated $811 billion of securitized assets on balance sheet. We find that banks that recognize more securitized assets exhibit larger decreases in mortgage approval rates and larger increases in mortgage sale rates. These effects significantly exceed those of banks' off-balance sheet securitized assets, consistent with our results being driven by the consolidation of securitization entities rather than by securitization per se. We conduct tests that help rule out the financial crisis as an alternative explanation for our results. Further analyses suggest that mechanisms underlying the results include consolidating banks' reduced regulatory capital adequacy, increased market discipline, and consequent desire not to recognize high-risk mortgages on balance sheet.