This paper studies the efficiency of competitive equilibria in economies where the expansion of investment is facilitated by securitization. We show that the use of securitization is generally associated with constrained inefficient aggregate investment, thereby potentially justifying regulatory intervention in markets for securitized assets. We examine the effectiveness of two real-world policy instruments to address this inefficiency: ex-ante capital / leverage requirements, as well as skin-in-the game (retention) requirements. We find that leverage/capital restrictions can increase welfare in our environment, but that forcing originators to hold additional skin-in-the game is not welfare improving.

本文研究了在证券化促进投资扩张的经济体中竞争均衡的效率。我们表明，证券化的使用通常与受限的低效总投资有关，从而可能证明对证券化资产市场的监管干预是合理的。我们研究了解决这种低效率问题的两种现实世界政策工具的有效性：事前资本/杠杆要求，以及游戏中的皮肤（保留）要求。我们发现，杠杆/资本限制可以增加我们环境中的福利，但强迫发起人参与游戏并不能改善福利。