Liquidity Constraints and Imperfect Information in Subprime Lending
利用一家大型汽车销售公司的次级贷款数据，发现短期流动性显著影响消费者行为，同时贷款方面临严重的信息问题，如逆向选择，但风险定价可缓解这一问题。
We present new evidence on consumer liquidity constraints and the credit market conditions that might give rise to them. We analyze unique data from a large auto sales company serving the subprime market. Short-term liquidity appears to be a key driver of consumer behavior. Demand increases sharply during tax rebate season and purchases are highly sensitive to down-payment requirements. Lenders also face substantial informational problems. Default rates rise significantly with loan size, providing a rationale for loan caps, and higher-risk borrowers demand larger loans. This adverse selection is mitigated, however, by risk-based pricing.