Bank Information Production Over the Business Cycle
利用美国企业贷款的机密监管数据，构建银行信息质量新指标，发现信息质量随地方经济恶化而改善，随房价快速上涨而下降，为信贷市场反周期信息生产理论提供实证支持。
Abstract The information banks produce drives their lending decisions and macroeconomic outcomes, but this information is inherently difficult to analyse because it is private. We construct a novel measure of bank information quality from confidential regulatory data that include banks’ private risk assessments for US corporate loans. Information quality improves as local economic conditions deteriorate, particularly for new loans, large loans, and loans with higher expected losses. Information quality also declines during periods of rapid local house price appreciation. Our results provide empirical support for theories of countercyclical information production in credit markets.