The information banks have about borrowers drives their lending decisions and macroeconomic outcomes, but this information is inherently difficult to analyse because it is private. We construct a novel measure of bank information quality from confidential regulatory data that include banks' private risk assessments for US corporate loans. We show that our measure of information quality improves as local economic conditions deteriorate, particularly for newly originated loans and loans with greater information sensitivity. Our results provide empirical support for theories of countercyclical information production in credit markets, and suggest that policies designed to stimulate macroeconomic activity through the banking sector may be less effective in recessions.