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Essays on market frictions and securitization.

Record Type:	Language materials, manuscript : Monograph/item
Title/Author:	Essays on market frictions and securitization./
Author:	Wang, An.
Description:	1 online resource (192 pages)
Notes:	Source: Dissertation Abstracts International, Volume: 78-02(E), Section: A.
Contained By:	Dissertation Abstracts International78-02A(E).
Subject:	Economics. -
Online resource:	click for full text (PQDT)
ISBN:	9781369140705

Essays on market frictions and securitization.
Wang, An.

Essays on market frictions and securitization. - 1 online resource (192 pages)

Source: Dissertation Abstracts International, Volume: 78-02(E), Section: A.

Thesis (Ph.D.)

Includes bibliographical references

This dissertation provides a novel theory of securitization based on intermediaries minimizing the moral hazard that insiders can misuse assets held on-balance sheet. The model predicts how intermediaries finance different assets. Under deposit funding, the moral hazard is greatest for low-risk assets that yield sizable returns in bad states of nature; under securitization, it is greatest for high-risk assets that require high guarantees and large reserves. Intermediaries thus securitize low-risk assets. In an extension, I identify a novel channel through which government bailouts exacerbate the moral hazard and reduce total investment irrespective of the funding mode. This adverse effect is stronger under deposit funding, implying that intermediaries finance more risky assets off-balance sheet. The dissertation discusses the implications of different forms of guarantees. With explicit guarantees, banks securitize assets with either low information-intensity or low risk. By contrast, with implicit guarantees, banks only securitize assets with high information-intensity and low risk.

Electronic reproduction.
Ann Arbor, Mich. :
ProQuest,
2018

Mode of access: World Wide Web

ISBN: 9781369140705Subjects--Topical Terms:

555568
Economics.
Index Terms--Genre/Form:

554714
Electronic books.

Essays on market frictions and securitization.
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100 1 $a Wang, An. $3 1179097
245 1 0 $a Essays on market frictions and securitization.
264 0 $c 2016
300 $a 1 online resource (192 pages)
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500 $a Source: Dissertation Abstracts International, Volume: 78-02(E), Section: A.
500 $a Advisers: Anton Korinek; John Shea.
502 $a Thesis (Ph.D.) $c University of Maryland, College Park $d 2016.
504 $a Includes bibliographical references
520 $a This dissertation provides a novel theory of securitization based on intermediaries minimizing the moral hazard that insiders can misuse assets held on-balance sheet. The model predicts how intermediaries finance different assets. Under deposit funding, the moral hazard is greatest for low-risk assets that yield sizable returns in bad states of nature; under securitization, it is greatest for high-risk assets that require high guarantees and large reserves. Intermediaries thus securitize low-risk assets. In an extension, I identify a novel channel through which government bailouts exacerbate the moral hazard and reduce total investment irrespective of the funding mode. This adverse effect is stronger under deposit funding, implying that intermediaries finance more risky assets off-balance sheet. The dissertation discusses the implications of different forms of guarantees. With explicit guarantees, banks securitize assets with either low information-intensity or low risk. By contrast, with implicit guarantees, banks only securitize assets with high information-intensity and low risk.
520 $a Two extensions to the benchmark static and dynamic models are discussed. First, an extension to the static model studies the optimality of tranching versus securitization with guarantees. Tranching eliminates agency costs but worsens adverse selection, while securitization with guarantees does the opposite. When the quality of underlying assets in a certain security market is sufficiently heterogeneous, and when the highest quality assets are perceived to be sufficiently safe, securitization with guarantees dominates tranching. Second, in an extension to the dynamic setting, the moral hazard of misusing assets held on-balance sheet naturally gives rise to the moral hazard of weak ex-post monitoring in securitization. The use of guarantees reduces the dependence of banks' ex-post payoffs on monitoring efforts, thereby weakening monitoring incentives. The incentive to monitor under securitization with implicit guarantees is the weakest among all funding modes, as implicit guarantees allow banks to renege on their monitoring promises without being declared bankrupt and punished.
533 $a Electronic reproduction. $b Ann Arbor, Mich. : $c ProQuest, $d 2018
538 $a Mode of access: World Wide Web
650 4 $a Economics. $3 555568
650 4 $a Finance. $3 559073
655 7 $a Electronic books. $2 local $3 554714
690 $a 0501
690 $a 0508
710 2 $a ProQuest Information and Learning Co. $3 1178819
710 2 $a University of Maryland, College Park. $b Economics. $3 1179098
773 0 $t Dissertation Abstracts International $g 78-02A(E).
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10159078 $z click for full text (PQDT)