Financial Market Experiments

金融市场实验

• 批准号: 1426980
• 负责人: Douglas Davis
• 金额: $ 12.48万
• 依托单位: Virginia Commonwealth University
• 依托单位国家: 美国
• 项目类别: Standard Grant
• 财政年份: 2014
• 资助国家: 美国
• 起止时间: 2014-08-01 至 2019-05-31
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=1426980&HistoricalAwards=false
• 关键词: Financial; Market; Experiments

Financial products and the markets in which they are traded have long been among the most highly innovative of all economic interactions. However, the worldwide financial crisis of 2008 and the ensuing new laws regulating financial markets, including in particular the 2010 Dodd Frank Act, have quite justifiably stimulated immense attention among economists, both to identify the causes of fragility in financial institutions, and to better articulate ways to alter the architecture of financial markets so as to improve stability without unduly limiting the benefits of the products and services offered in these markets or restricting innovation. An inherent problem associated with designing new regulations is an absence of evidence regarding the effectiveness of policies that have never been observed. In exactly these circumstances laboratory methods can be extremely useful. This project consists of a series of three experiments with applications to emerging issues in financial market regulation. Each experiment represents a way to gain some insight into potential consequences of alternative policies. Experimental results will usefully allow some insight into potential consequences of alternative policy options. The first experiment evaluates triggering mechanisms for converting contingent capital bonds into equity. Contingent capital bonds ("CoCo's") have been identified as an important new instrument for promoting the stability of systemically important banks. Critical to the successful implementation of CoCo's is an efficient conversion triggering mechanism. Our experiment focuses on the relative performance of the two leading candidate mechanisms, a fixed price trigger in which conversion occurs automatically after crossing a preannounced price threshold and a discretionary regulator, who also sees price information, but who makes decisions in light of imprecise non-price signals, and also face biased incentives to intervene or not. The second experiment pertains to bank runs. In many instances liquidity suspension rather than deposit insurance is the best (or only) policy tool available for discouraging runs on distressed banks. In such instances, bank regulators are rarely able to simply suspend payments until asset maturation, as would be ideal. Rather, they temporarily suspend liquidity, and then re-set contract terms for remaining depositors. In re-setting contract terms, a banking authority must choose whether to skew the terms of payment toward the interests of ?patient? depositors who maintain their deposits in the bank, or toward ?impatient? depositors with unanticipated liquidity needs. Intimately related to re-contracting conditions are the (de)stabilizing effects of publicizing information about depositor withdrawal behavior. Our experiment interacts re-contracting conditions and information regimes to identify the sort of ex post re-contracting and information scheme most likely to promote stability. The third experiment evaluates a simple model of the interbank loan market. In the 2008 financial crisis interbank markets ?locked up,? despite active central bank intervention, raising questions as to why the market failed and what a central bank can do to improve the functioning of this market in times of stress. We propose a simple experimental implementation of a model by Allen, Carletti and Gale (2009) to both better understand the coordination problem faced by banks in this market and to gain some insight as to when and how persistent central bank intervention may be desirable. This experiment will also serve as a baseline environment for evaluating alternative motivations for liquidity hoarding proposed in recent, more complex models.

金融产品及其交易市场长期以来一直是所有经济互动中最具创新性的。然而，2008年的全球金融危机以及随后出台的监管金融市场的新法律，特别是2010年的《多德-弗兰克法案》，无疑引起了经济学家的极大关注，既要找出金融机构脆弱性的原因，并更好地阐明改变金融市场结构的方法，以提高稳定性，同时又不过分限制金融市场的好处。这些市场提供的产品和服务或限制创新。 与制定新规章相关的一个固有问题是缺乏证据证明从未得到遵守的政策的有效性。在这种情况下，实验室方法可能非常有用。该项目包括一系列的三个实验，应用于金融市场监管中出现的问题。每一个实验都代表了一种深入了解替代政策潜在后果的方法。实验结果将有助于人们了解替代政策选择的潜在后果。第一个实验评估了将或有资本债券转换为股权的触发机制。或有资本债券（“CoCo's”）已被确定为促进具有系统重要性的银行稳定的重要新工具。成功实施CoCo的关键是有效的转换触发机制。 我们的实验侧重于两个领先的候选人机制的相对性能，一个固定的价格触发器，转换自动发生后，跨越预先宣布的价格阈值和自由裁量的监管机构，谁也看到价格信息，但谁作出决定，根据不精确的非价格信号，也面临着偏见的激励干预或不。 第二个实验与银行挤兑有关。 在许多情况下，流动性暂停而不是存款保险是阻止困境银行挤兑的最佳（或唯一）政策工具。 在这种情况下，银行监管机构很少能够简单地暂停支付，直到资产成熟，这是理想的。相反，他们暂时暂停流动性，然后为剩余储户重新设定合同条款。 在重新设定合同条款时，银行当局必须选择是否将支付条款向受益人的利益倾斜。耐心点？在银行存款的储户，还是向？不耐烦？有不可预见的流动性需求的储户。 与再契约条件密切相关的是公开储户提款行为信息的（去）稳定效应。 我们的实验相互作用的再承包条件和信息制度，以确定排序的事后再承包和信息计划最有可能促进稳定。第三个实验评估了银行间贷款市场的一个简单模型。在2008年金融危机中，银行间市场？关起来，？尽管中央银行进行了积极干预，但市场仍然存在，这引起了人们的疑问，即为什么市场失败，以及中央银行在压力时期可以做些什么来改善市场的运作。 我们提出了一个简单的实验实施的模型由艾伦，Carletti和Gale（2009年），既更好地理解银行在这个市场上面临的协调问题，并获得一些洞察，以何时以及如何持续的中央银行干预可能是可取的。这个实验也将作为一个基线环境，用于评估最近更复杂的模型中提出的流动性囤积的替代动机。