Dynamic Adverse Selection and Belief Update in Credit Markets
构建了一个动态债务契约模型，研究企业家私人信息导致的逆向选择如何随企业经营历史、共同生产率历史和契约条款更新贷款人信念，并解释企业年龄与信用风险、生产率冲击持续性、商业周期非对称性及危机后缓慢复苏等现象。
Abstract We develop a dynamic model of debt contracts with adverse selection. Entrepreneurs borrow investment goods from lenders to run businesses whose returns depend on entrepreneurial productivity and common productivity. Entrepreneurial productivity is the entrepreneur’s private information, and lenders construct beliefs about entrepreneurial productivity based on the entrepreneur’s business operation history, common productivity history, and the terms of the contract. The model provides insights into the dynamic and cross-sectional relations between firm age and credit risk, persistency of the effects of a productivity shock, cyclical asymmetry of the business cycle, slow recovery after a crisis, and constructive and destructive economic downturns.