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Essays on Multidimensional Private I...

Kim, MeeRoo.

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Essays on Multidimensional Private Information in the Consumer Credit Market.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Essays on Multidimensional Private Information in the Consumer Credit Market./
作者:	Kim, MeeRoo.
出版者:	Ann Arbor : ProQuest Dissertations & Theses, : 2018,
面頁冊數:	181 p.
附註:	Source: Dissertations Abstracts International, Volume: 79-10, Section: A.
Contained By:	Dissertations Abstracts International79-10A.
標題:	Economics. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10787162
ISBN:	9780355846928

Essays on Multidimensional Private Information in the Consumer Credit Market.
Kim, MeeRoo.

Essays on Multidimensional Private Information in the Consumer Credit Market. - Ann Arbor : ProQuest Dissertations & Theses, 2018 - 181 p.

Source: Dissertations Abstracts International, Volume: 79-10, Section: A.

Thesis (Ph.D.)--Columbia University, 2018.

This item must not be added to any third party search indexes.

In these essays, I study how multidimensional private information causes advantageous selection in a highly concentrated consumer credit market. All three chapters are tightly correlated with each other. I first carefully investigate conditional correlations between choices of a loan type, private default risks, and an additional private information on consumption smoothing motives. I find that their conditional correlations appear consistent with advantageous selection being driven by unobserved heterogeneity in consumption smoothing motives. Then I document how moral hazard links two dimensions of private information: consumption smoothing motives and default risks. By separately identifying moral hazard from adverse selection, I show that consumers with stronger consumption smoothing motives exert more effort to prevent default, generating an endogenous negative association between consumption smoothing motives and default risks. Finally, using a dynamic model of loan type choices and following outcome of default, I recover the joint distribution of bi-dimensional unobserved heterogeneity. This structural estimation also suggests a new way to estimate the inter-temporal elasticity of substitution that represents heterogeneous consumption smoothing motives. As well as being consistent with the results of previous chapters, the results of the structural estimation reveal a strong and positive correlation between inter-temporal elasticity of substitution and default risks.

ISBN: 9780355846928Subjects--Topical Terms:

517137
Economics.

Essays on Multidimensional Private Information in the Consumer Credit Market.
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520 $a In these essays, I study how multidimensional private information causes advantageous selection in a highly concentrated consumer credit market. All three chapters are tightly correlated with each other. I first carefully investigate conditional correlations between choices of a loan type, private default risks, and an additional private information on consumption smoothing motives. I find that their conditional correlations appear consistent with advantageous selection being driven by unobserved heterogeneity in consumption smoothing motives. Then I document how moral hazard links two dimensions of private information: consumption smoothing motives and default risks. By separately identifying moral hazard from adverse selection, I show that consumers with stronger consumption smoothing motives exert more effort to prevent default, generating an endogenous negative association between consumption smoothing motives and default risks. Finally, using a dynamic model of loan type choices and following outcome of default, I recover the joint distribution of bi-dimensional unobserved heterogeneity. This structural estimation also suggests a new way to estimate the inter-temporal elasticity of substitution that represents heterogeneous consumption smoothing motives. As well as being consistent with the results of previous chapters, the results of the structural estimation reveal a strong and positive correlation between inter-temporal elasticity of substitution and default risks.
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