| Nº Sistema |
000474846 |
| Autor |
 Garcia-Villegas, Salomon |
| Título |
How asymmetries of information can amplify house price shocks to the supply of mortgage credit? [Recurso electrónico] / Salomón García. |
| Datos publicación |
Vienna : SUERF, 2023. |
| Descrip. física |
6 p. |
| Serie |
SUERF Policy Briefs ; 682, September 2023 |
| Resumen |
We study how information frictions in the securitization market amplify the response of mortgage credit supply to house price shocks. Securitization prices and quantities endogenously result from an optimal contracting problem between investors and banks. Banks are better informed than investors about the quality of mortgages they originate, leading to adverse selection in securitization. Investors use the quantity sold as a screening device to induce banks to reveal truthful information. We find that adverse selection amplifies the response of a bank’s mortgage credit to house price shocks. The model is informative on how information frictions can induce large fluctuations in mortgage credit supply. [Resumen de autor] [eng] |
| Restricciones |
Acceso público y gratuito a la versión electrónica en Internet |
| Acceso electrónico |
 Acceso al texto completo. |
| Relacionado con |
Documentos de Trabajo / Banco de España ; 2316 |
| Relacionado con |
Journal of Housing Economics, v. 62, December 2023, art. 101965 |
| Clasificación |
E2-Teoría monetaría. |
|
G21-Instituciones crediticias de depósito. |
|
G22-Instituciones financieras no bancarias. |
|
D6-Información e incertidumbre. |
| Entidad secundaria |
Société Universitaire Européenne de Recherches Financières |
