Does private information banks generate about their corporate borrowers deepen and change in nature over time, and if so, how? Exploiting the comprehensive Federal Reserve’s supervisory dataset, we distinguish two private information dimensions embedded in internal credit ratings: depth and...

We present a dynamic structural model of subprime adjustable-rate mortgage (ARM) borrowers making payment decisions taking into account possible consequences of different degrees of delinquency from their lenders. We empirically implement the model using unique data sets that contain information...