Securitization, ratings, and credit supply
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- dc.contributor.author Daley, Brendan
- dc.contributor.author Green, Brett
- dc.contributor.author Vanasco, Victoria
- dc.date.accessioned 2021-10-01T06:40:28Z
- dc.date.issued 2020
- dc.description Includes supplementary materials for the online appendix
- dc.description.abstract We develop a framework to explore the effect of credit ratings on loan origination. We show that ratings endogenously shift the economy from a signaling equilibrium, in which banks inefficiently retain loans to signal quality, toward an originate-to-distribute equilibrium with zero retention and inefficiently low lending standards. Ratings increase overall efficiency, provided that the reduction in costly retention more than compensates for the origination of some negative net present value loans. We study how banks' ability to screen loans affects these predictions and use the model to analyze commonly proposed policies such as mandatory “skin in the game.”
- dc.format.mimetype application/pdf
- dc.identifier.citation Daley B, Green B, Vanasco V. Securitization, ratings, and credit supply. Journal of Finance. 2020 Apr;75(2):1037-82. DOI: 10.1111/jofi.12866
- dc.identifier.doi http://dx.doi.org/10.1111/jofi.12866
- dc.identifier.issn 0022-1082
- dc.identifier.uri http://hdl.handle.net/10230/48548
- dc.language.iso eng
- dc.publisher Wiley
- dc.relation.ispartof Securitization, ratings, and credit supply. Journal of Finance. 2020 Apr;75(2):1037-82
- dc.rights This is the peer reviewed version of the following article: Daley B, Green B, Vanasco V. Securitization, ratings, and credit supply. Journal of Finance. 2020 Apr;75(2):1037-82. DOI: 10.1111/jofi.12866, which has been published in final form at https://doi.org/10.1111/jofi.12866. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Use of Self-Archived Versions.
- dc.rights.accessRights info:eu-repo/semantics/openAccess
- dc.subject.other Anàlisi de ràtios
- dc.subject.other Crèdits
- dc.subject.other Préstecs bancaris
- dc.title Securitization, ratings, and credit supply
- dc.type info:eu-repo/semantics/article
- dc.type.version info:eu-repo/semantics/acceptedVersion