Optimal Lending and Investment with Default Risk

具有违约风险的最佳借贷和投资

• 批准号: 0922461
• 负责人: Hugo Hopenhayn
• 金额: $ 24.38万
• 依托单位: National Bureau of Economic Research Inc
• 依托单位国家: 美国
• 项目类别: Standard Grant
• 财政年份: 2009
• 资助国家: 美国
• 起止时间: 2009-08-15 至 2013-07-31
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=0922461&HistoricalAwards=false
• 关键词: Optimal; Lending; Investment; Default; Risk

Intellectual meritThere is growing concern about the risk of default and its implications for the structuring of lending contracts. Default and breach of contract appear to be quite pervasive and costly in a wide variety of situations ranging from firm lending, sovereign debt and opportunistic quit behavior. In all these cases, the financing agents (lenders, firms) may fail to share returns to the investments to cover their costs while the borrower/worker may find alternative uses for their capital and resources. How should contracts bedesigned in the presence of default risk? How does the risk of default constrain lending and investment? These are the main questions addressed in this proposal. More specifically, the purpose of this proposal is to consider optimal financing in dynamic settings in the presence of default risk. We consider an environment where default/inefficient separations occur with positive probability under the optimal contract. Financing is constrained by voluntary repayment: the borrower can, at any moment, walk away for some outside opportunity. The value of the outside opportunity is random and private information. This is the key difference with the existing literature and implies that default actually occurs with positive probability as part of the optimal contract. Our approach thus provides contract theoretic foundations for endogenous default and implications for the time profile of borrowing constraints and investment. We place no ad hoc assumptions on contracting, but impose the constraints arising from the agent's private information and lack of commitment. Our model allows for a few different economic interpretations. The most obvious is the financing of a firm, where the lender is an entrepreneur undertaking an investment project and the borrower is a bank seeking to finance this project. Alternatively, one can apply the model to human capital investments and on-the-job training. The borrower in this case is a worker accumulating skills while working at a firm. The firm helps finance this investment but is concerned about retaining the worker. Or similarly, a researcher in an R&D lab that may quit benefiting elsewhere from ideas developed in the lab. Finally, the model can be applied to an international context by interpreting the borrower as a sovereign government seeking to finance its government spending, including public investments, from foreign investors. In all these situations, the risk of default/separation constrains the possibilities of investment. In turn, theaccumulation of capital is likely to have an impact on outside opportunities and consequently on default risk. An optimal dynamic contract considers this optimal tradeoff over time. The approach we propose has the additional advantage of providing a very tractable framework. The optimal dynamic contract is the solution to a problem that can be easily characterized for simple cases and very easily computed more generally. This contrasts with existing dynamic models of default that are extensively used in the sovereign debt literature- that are very difficult to characterize and carry a very high computational burden.Broader impactThe research proposed provides a novel and very tractable framework to study problems of lending and investment with default risk. There is a large literature ranging from Finance, consumer theory, labor economics and international economics to which the model applies. Our research will thus provide a theoretical framework to look at evidence in this area. Moreover, it will help better understand the structuring of contracts to mitigate default risk while taking advantage of investment opportunities. From a methodological point of view, the modeling approach (continuous time/Poisson arrivals) is also quite novel in the dynamic contracts literature and proved to have considerable advantages over the standard (discrete time) approach. Future research in this area will find this approach useful.

人们越来越担心违约风险及其对贷款合同结构的影响。从企业贷款、主权债务到机会主义退出行为，违约和违约似乎在各种情况下都相当普遍，而且代价高昂。在所有这些情况下，融资代理人（贷方、公司）可能无法分享投资回报以支付其成本，而借款人/工人可能会为其资本和资源找到其他用途。在存在违约风险的情况下，应该如何设计合约？违约风险是如何限制贷款和投资的？这些是本建议所处理的主要问题。更具体地说，本建议的目的是考虑在存在违约风险的动态环境下的最优融资。我们考虑在最优契约下违约/无效分离以正概率发生的环境。融资受到自愿还款的限制：借贷者可以在任何时候为了一些外部机会而离开。外部机会的价值是随机的和私有的信息。这是与现有文献的关键区别，并暗示违约实际上以正概率发生，作为最优契约的一部分。因此，我们的方法为内生违约提供了契约理论基础，并为借款约束和投资的时间概况提供了启示。我们没有对契约进行特别的假设，而是施加了由于代理人的私人信息和缺乏承诺而产生的约束。我们的模型允许几种不同的经济解释。最明显的是企业融资，贷款人是从事投资项目的企业家，借款人是寻求为该项目融资的银行。或者，可以将该模型应用于人力资本投资和在职培训。在这种情况下，借款人是在公司工作期间积累技能的工人。该公司为这项投资提供资金，但关心的是如何留住员工。或者类似地，研发实验室的研究人员可能不再从实验室开发的想法中受益。最后，通过将借款人解释为寻求从外国投资者那里为其政府支出（包括公共投资）融资的主权政府，该模型可以应用于国际背景。在所有这些情况下，违约/分离的风险限制了投资的可能性。反过来，资本的积累可能会对外部机会产生影响，从而对违约风险产生影响。最优动态契约考虑了这种随时间推移的最优权衡。我们提出的方法还有一个额外的优点，就是提供了一个非常易于处理的框架。最优动态契约是一个问题的解决方案，它可以很容易地描述为简单的情况，并且很容易更一般地计算。这与主权债务文献中广泛使用的现有违约动态模型形成鲜明对比，后者很难表征，计算负担非常大。更广泛的影响本研究为研究具有违约风险的借贷和投资问题提供了一个新颖且易于处理的框架。该模型适用于金融学、消费者理论、劳动经济学和国际经济学等领域的大量文献。因此，我们的研究将为研究这一领域的证据提供一个理论框架。此外，它将有助于更好地理解合同的结构，以减轻违约风险，同时利用投资机会。从方法学的角度来看，建模方法（连续时间/泊松到达）在动态契约文献中也是相当新颖的，并且被证明比标准（离散时间）方法具有相当大的优势。该领域的未来研究将发现这种方法很有用。