A Quantitative Theory of the Credit Score

• 成果类型: Article
• 署名作者: Chatterjee, Satyajit; Corbae, Dean; Dempsey, Kyle; Rios-Rull, Jose-Victor
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - Philadelphia; University of Wisconsin System; University of Wisconsin Madison; University of Cambridge; University System of Ohio; Ohio State University; University of Pennsylvania; University of London; University College London
• 刊物名称: ECONOMETRICA
• ISSN/ISSBN: 0012-9682
• DOI: 10.3982/ECTA18771
• 发表日期: 2023
• 页码: 1803-1840
• 关键词: information; debt; reputation; revolution; RISK

摘要

What is the role of credit scores in credit markets? We argue that it is, in part, the market's assessment of a person's unobservable type, which here we take to be patience. We postulate a model of persistent hidden types where observable actions shape the public assessment of a person's type via Bayesian updating. We show how dynamic reputation can incentivize repayment. Importantly, we show how an economy with credit scores implements the same equilibrium allocation. We estimate the model using both credit market data and the evolution of individuals' credit scores. We conduct counterfactuals to assess how more or less information used in scoring individuals affects outcomes and welfare. If tracking of individual credit actions is outlawed, poor young adults of low type benefit from subsidization by high types despite facing higher interest rates arising from lower dynamic incentives to repay.