主题:The Equilibrium Effects
of Asymmetric Information: Evidence from Consumer Credit Markets(信息不对称的均衡效应:从消费信贷市场得到的启示)
主讲人:Andres Liberman,纽约大学斯特恩商德州扑克大小
金融学助理教授
日期:2017年11月8日(周三)
时间:上午10:00-11:30
地点:德州扑克大小
金融德州扑克大小
4号楼101教室
语言:英文
摘要:
We
combine machine learning techniques with a large-scale policy change to study
the equilibrium effects of information asymmetries in credit markets. In 2012,
Chilean credit bureaus were forced to stop reporting past defaults for 2.8
million individuals with relatively low default amounts. These individuals made
up 21% of the country’s adult population and approximately 67% of borrowers in
default. Using panel data of the universe of bank borrowers in Chile and access
to the deleted registry information, we measure exposure to the deletion policy
by constructing cost predictions with and without the deleted data. We then
estimate the effects of exposure to changes in predicted costs using a
difference-in-differences design that compares changes in borrowing over time
for borrowers at different points in the exposure distribution. We find that
deletion reduces predicted costs the most for poorer defaulters with limited
borrowing histories, and raises predicted costs the most for non-defaulters
with similar backgrounds. Borrowing is negatively and monotonically related to
increases in predicted costs, with an elasticity of -0.16. Losers from the
policy outnumber winners, and in aggregate, the effect of deletion was a
sustained reduction in borrowing by 9% relative to baseline. We use our
procedure to simulate the effects of counterfactual deletion policies such as
the elimination of data on gender or additional default records, and show that
both types of deletion reduce overall borrowing with largest drops for lower-income
individuals and women.
主讲人简介:
Andres
Liberman joined New York University Stern School of Business as an Assistant
Professor of Finance in June 2013. Professor Liberman's research focuses on
financial intermediation, household finance and corporate finance. His recent
work studies the value that individuals assign to a good credit reputation and
the effects that the manipulation of credit scores may have on credit markets. Professor
Liberman received a B.A. in Industrial Engineering from Universidad de Chile
and an M.Phil. and Ph.D., both in Finance, from Columbia University.