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Asymmetric information in securitization: An empirical assessment

Author

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  • Albertazzi, Ugo
  • Eramo, Ginette
  • Gambacorta, Leonardo
  • Salleo, Carmelo

Abstract

Asymmetric information in securitization deals is analyzed based on a unique dataset comprising a million mortgages, both securitized and not, and using a methodology, previously applied to insurance data, that looks at the correlation between risk transfer and default probability. The main finding is that, for given observable characteristics, securitized mortgages have a lower default probability than non-securitized ones. We show that this finding is consistent with banks caring about their reputation for not selling lemons.

Suggested Citation

  • Albertazzi, Ugo & Eramo, Ginette & Gambacorta, Leonardo & Salleo, Carmelo, 2015. "Asymmetric information in securitization: An empirical assessment," Journal of Monetary Economics, Elsevier, vol. 71(C), pages 33-49.
  • Handle: RePEc:eee:moneco:v:71:y:2015:i:c:p:33-49
    DOI: 10.1016/j.jmoneco.2014.11.002
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    References listed on IDEAS

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    More about this item

    Keywords

    Securitization; Asymmetric information; Reputation;
    All these keywords.

    JEL classification:

    • D82 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Asymmetric and Private Information; Mechanism Design
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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