Identifying Information Asymmetries in a Consumer Credit Market

Information asymmetries are important in theory but difficult to identify in practice. We estimate the presence and importance of hidden information and hidden action problems in a consumer credit market using a new field experiment methodology. We randomized 58,000 direct mail offers to former clients of a major South African lender along three dimensions: (i) an initial “offer interest rate” featured on a direct mail solicitation; (ii) a “contract interest rate” that was revealed only after a borrower agreed to the initial offer rate; and (ii) a dynamic repayment incentive that was also a surprise and extended preferential pricing on future loans to borrowers who remained in good standing. These three randomizations, combined with complete knowledge of the lender's information set, permit identification of specific types of private information problems. Our setup distinguishes hidden information effects from selection on the offer rate (via unobservable risk and anticipated effort), from hidden action effects (via moral hazard in effort) induced by actual contract terms. We find strong evidence of moral hazard and weaker evidence of hidden information problems. A rough estimate suggests that perhaps 13% to 21% of default is due to moral hazard. Asymmetric information thus may help explain the prevalence of credit constraints even in a market that specializes in financing high‐risk borrowers.

信息不对称（Information asymmetries）在理论层面具有重要意义，但在实践中却难以识别。我们借助全新的实地实验方法论，对某消费者信贷市场中的隐藏信息与隐藏行动问题的存在性及重要性进行了估算。我们为南非一家大型贷款机构的5.8万名前客户随机投放了直邮信贷邀约，邀约设置了三个随机变量维度：其一为直邮邀约上标注的初始"邀约利率"；其二为仅在借款人同意初始邀约利率后才会披露的"合同利率"；其三为惊喜式动态还款激励，即对履约状态良好的借款人提供未来贷款的优惠定价。这三项随机设置，结合我们对贷款机构信息集的完整掌握，使得我们能够识别特定类型的私人信息问题。我们的实验设计将基于邀约利率的自我选择效应（通过不可观测风险与预期还款努力体现）所带来的隐藏信息效应，与实际合同条款引发的（还款努力层面的）道德风险这类隐藏行动效应区分开来。我们发现了显著的道德风险证据，而隐藏信息问题的证据则相对较弱。粗略估算显示，约13%至21%的违约源于道德风险。因此，信息不对称或可解释为何即使在以服务高风险借款人为特色的信贷市场中，仍普遍存在信贷约束现象。