 Asymmetric information and the securitization of SME loansUgo Albertazzi, Margherita Bottero, Leonardo Gambacorta and Steven Ongena European Economic Review, 2025, vol. 177, issue C Abstract: Using data from the Italian credit register encompassing all loans granted to firms, we examine the correlations between risk-transfer and default probabilities to gauge the severity of informational asymmetries in the securitization market for loans to small and medium enterprises (SMEs). First, the analysis confirms the presence of information frictions. Second, the unconditional quality of securitized loans remains significantly higher than that of non-securitized ones, consistent with the view that market participants anticipate the presence of information frictions and carefully select which loans to securitize to offset the detrimental effects of asymmetric information. Third, by analyzing firms with multiple bank relationships, we provide insights into the relative importance of adverse selection and moral hazard as forms of informational friction. While adverse selection is widespread, moral hazard is primarily observed in weaker relationships, implying that loans in these cases exhibit limited commitment from banks to engage in costly monitoring. Keywords: Securitization; SME loans; Moral hazard; Adverse selection (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:eecrev:v:177:y:2025:i:c:s0014292125001035 DOI: 10.1016/j.euroecorev.2025.105053 Access Statistics for this article European Economic Review is currently edited by T.S. Eicher, A. Imrohoroglu, E. Leeper, J. Oechssler and M. Pesendorfer More articles in European Economic Review from Elsevier |
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