Information Losses in a Dynamic Model of Credit
研究贷款终止导致的动态信息损失：当风险溢价上升时，优质借款人退出市场，使信贷信息变嘈杂，进一步推高风险溢价，形成信贷松紧交替的周期。
ABSTRACT This paper examines dynamic information losses associated with loan terminations. We assume that the aggregated returns of current borrowers contain information about the mean returns to future borrowers. In a competitive loan market, the value of this information is not fully internalized by individual borrowers and lenders, and loan decisions fail to be first best. Introducing heterogeneous borrowers, who know their own risk characteristics better than lenders, safer borrowers are less willing to borrow when risk premia rise. As they cease borrowing, the information generated in credit markets becomes noisier and this tends to increase risk premia. The model produces alternating and persistent periods of “tight” and “loose” credit.