中文摘要
2000–2006 年间, 美国房价与抵押贷款信贷不断增长, 而抵押贷款信贷的相对成本却在下降——对私人证券化抵押贷款而言尤甚——这表明出现了信贷供给扩张。本文将抵押贷款信贷证券化的创新 (一种信贷供给冲击) 与其他候选的信贷供给冲击进行比较。本文构建了一个双层抵押贷款市场模型, 由此产生了一种新颖的资产负债表效应: 受融资约束的商业银行与抵押贷款证券化机构之间的相互作用, 将抵押贷款信贷总量的变化与抵押贷款利差的变化联系起来。证券化创新 (即证券化机构融资约束的直接放松) 与抵押贷款市场的动态相吻合。
Abstract
From 2000-2006 U.S. house prices and mortgage credit grew while the relative cost of mortgage credit fell – particularly for privately securitized mortgages – suggesting a credit supply expansion. This paper compares innovations in the securitization of mortgage credit (a credit supply shock) to other candidate credit supply shocks. I model a two-layered mortgage market. This generates a novel balance sheet effect: changes in aggregate mortgage credit quantity are linked to changes in mortgage spreads via the interaction of financially constrained commercial banks and mortgage securitizers. Innovation in securitization (a direct relaxation of the securitizers' financial constraint) matches mortgage market dynamics.