Insurance Pricing and Market Structure: A Study of GSE-Securitized Mortgage Loans
2019/02/19
研討會日期 : 2019-02-19
時間 : 14:30
主講人 : Ms. Hsin-Tien (Tiffany) Tsai
主持人 : Professor Tzu-Ting Yang
地點 : Conference Room B110
演講者簡介 : Ms. Tsai will receive her Ph.D. in Economics from University of California at Berkeley in 2019. Her primary research fields are Industrial Organization and Household Finance, and Secondary is Public Economics.
演講摘要 : This paper studies inefficiencies arising from the insurance pricing schedule of government-sponsored enterprises (GSEs) in the U.S. mortgage market, and how these inefficiencies interact with market structure and information asymmetry. I estimate an industry model of borrowers, lenders, and GSEs using loan-level data on repayment and pricing decisions. The estimation exploits a significant change to U.S. banking regulation that gives exogenous variation in credit supply. I find that GSE mortgage insurance pricing results in a redistribution of 56.82 billion dollars (1.60 percent of the mortgage interest) from lower-risk borrowers to higher-risk borrowers and leads to welfare loss of 519.25 dollars per loan relative to a benchmark with full risk-based pricing. In my counterfactual analysis, I find that, under GSE pricing, a 50 percent decrease in market concentration reduces welfare by 171.77 dollars per loan, while under full risk-based pricing, the same decrease in market concentration improves welfare by 844.29 dollars per loan.
