Illiquid Lemon Markets and the Macroeconomy

• 成果类型: Article; Early Access
• 署名作者: Bierdel, Aime; Drenik, Andres; Herreno, Juan; Ottonello, Pablo
• 署名单位: University of Texas System; University of Texas Austin; University of California System; University of California San Diego; University of Minnesota System; Federal Reserve System - USA; University of Minnesota Twin Cities; Federal Reserve Bank - Minneapolis
• 刊物名称: JOURNAL OF POLITICAL ECONOMY
• ISSN/ISSBN: 0022-3808
• DOI: 10.1086/742435
• 发表日期: 2026
• 关键词: Adverse selection; endogenous liquidity; Trading frictions; search; misallocation; reallocation; equilibrium; INVESTMENT; prices; sales

摘要

We study the macroeconomic implications of asymmetric information in capital markets. We build a model in which heterogeneous capital is traded in illiquid markets, with sellers better informed about its quality than buyers. Asymmetric information distorts the terms of trade for sellers of high-quality capital, who list higher prices and accept lower trading probabilities to signal their type. Guided by the model, we measure these distortions from the relationship between listed prices and trading probabilities in a unique dataset of capital units. Combining this measurement with the model, we show that information asymmetries can play a quantitatively large role during crises, when they intensify.