中文摘要
我们研究一个卖方（例如银行）的问题，该卖方对其资产质量拥有私人信息，并希望通过发行以其资产现金流为支持的证券，利用与不知情买方（例如投资者）之间的交易获利。在我们的设定中，买方发布合同菜单以甄别卖方，但卖方无法承诺只与一个买方进行交易，即市场是非排他性的。我们表明，非排他性市场的表现与排他性市场迥异：（1）分离合同永远不构成均衡的一部分；（2）卖方所面临索取权的错误定价始终大于排他性市场；（3）始终存在一个半混同均衡，其中所有卖方都发行同一种按平均估值定价的债务合同，而低质量资产的卖方以低估值发行剩余现金流；（4）市场流动性可能高于或低于排他性市场，但（5）所发起资产的平均质量始终更低。我们模型的预测与关于抵押支持证券发行和定价的经验证据相一致，并运用该理论评估近期旨在增强市场透明度和排他性的改革。
Abstract
Abstract We study the problem of a seller (e.g. a bank) who is privately informed about the quality of her asset and wants to exploit gains from trade with uninformed buyers (e.g. investors) by issuing securities backed by her asset cash flows. In our setting, buyers post menus of contracts to screen the seller, but the seller cannot commit to trade with only one buyer, i.e. markets are non-exclusive. We show that non-exclusive markets behave very differently from exclusive ones: (1) separating contracts are never part of equilibrium; (2) mispricing of claims faced by the seller is always greater than in exclusive markets; (3) there is always a semi-pooling equilibrium where all sellers issue the same debt contract priced at average-valuation, and sellers of low-quality assets issue remaining cash flows at low-valuation; (4) market liquidity can be higher or lower than in exclusive markets, but (5) the average quality of originated assets is always lower. Our model’s predictions are consistent with empirical evidence on the issuance and pricing of mortgage-backed securities, and we use the theory to evaluate recent reforms aimed at enhancing transparency and exclusivity in markets.