中文摘要
我们构建了一个美国抵押贷款市场的一般均衡模型，其中证券化塑造了家庭获得信贷与住房的机会。该模型能够拟合证券化发展之后抵押贷款利率、信贷增长与房价的长期行为。证券化提升了市场效率，但受到逆向选择的制约：贷款人私下掌握抵押贷款质量的信息。家庭违约的激增随即压低证券价格，减少贷款人的流动性并收缩信贷供给。将其应用于全球金融危机（GFC），该模型复制了数据中观察到的住宅抵押贷款信贷收缩的三分之二。信息摩擦在解释这些动态方面有多重要？我们估计信息摩擦乘数约为1.2，表明存在强有力的放大效应。在评估全球金融危机后的信贷担保政策时，我们发现扩大覆盖范围稳定了信贷，但担保仍然定价过低。按照反映信息摩擦放大效应的方式为其定价，可覆盖相关的财政成本，并为所有家庭带来福利收益。
Abstract
We develop a general equilibrium model of the U.S. mortgage market where securitization shapes households’ access to credit and housing. The model matches the long-run behavior of mortgage rates, credit growth, and house prices following the development of securitization. Securitization improves market efficiency but is subject to adverse selection: lenders are privately informed about mortgage quality. Surges in household defaults then drive down security prices, reducing lender liquidity and contracting credit supply. Applied to the Global Financial Crisis (GFC), the model replicates two-thirds of the contraction in residential mortgage credit observed in the data. How important were information frictions in accounting for these dynamics? We estimate an information-friction multiplier of around 1.2, suggesting a powerful amplification effect. Evaluating post-GFC credit guarantee policies, we find that expanded coverage has stabilized credit but guarantees remain underpriced. Pricing them to reflect the amplification effect of information frictions covers the associated fiscal costs and delivers welfare gains for all households.