Dynamic Coordination, Runs, and Efficient Policy Design

动态协调、运行和高效的政策设计

• 批准号: ES/T003758/1
• 负责人: Hongda Zhong
• 金额: $ 30.99万
• 依托单位: London School of Economics and Political Science
• 依托单位国家: 英国
• 项目类别: Research Grant
• 财政年份: 2020
• 资助国家: 英国
• 起止时间: 2020 至 无数据
• 项目状态: 已结题
• 来源: https://gtr.ukri.org/projects?ref=ES%2FT003758%2F1
• 关键词: Dynamic; Coordination; Runs; Efficient; Policy

When a firm is in trouble, investors may be able to secure better payoffs if they withdraw investments while the firm is still solvent rather than wait until it is terminated. This higher payoff from a successful exit motivates investors to withdraw early - a phenomenon known as a coordination failure or a "run" - even though the superior outcome for everyone would be for all investors to remain invested. These runs often lead to the inefficient termination of productive firms. The threat of a potential run is so prevalent in many different markets that it has stimulated sustained interest among academics, regulators, and practitioners. Consider the following examples:Example 1 (bank deposits): Depositors may worry that their bank could fail, thereby causing them to lose their deposits. Consequently, depositors may rush to redeem deposits, causing the bank to fail. This phenomenon is referred to as a "bank run."Example 2 (corporate debt): Creditors in distressed companies may have incentives to demand the return of their money over concerns that other creditors are demanding repayment. The sudden demand for repayment from a significant portion of creditors can force productive companies into bankruptcy.Recognizing the significant consequences of potential runs, practitioners and policymakers have developed many policies to foster coordination among investors, for example:Policy 1 (suspension of convertibility): When capital outflows from a bank reach a certain threshold, the bank may suspend convertibility of deposits and distribute the remaining assets among all depositors.Policy 2 (avoidable preference): Repayments made to lenders prior to a company's bankruptcy may be subject to clawback and redistribution among all remaining lenders. Under the avoidable preference legislation in the United Kingdom, the clawback window ranges from six months to two years.The aim of this project is to offer a general framework based on dynamic game theory and analyze the impact of different policies on investors' decisions to run when the firm is still operating. To see why such a systematic investigation is necessary, I sketch an unintended consequence of Policy 2 (repayment clawback). By clawing back more repayments, the remaining lenders receive more in the event of bankruptcy, making bankruptcy less devastating. This channel reduces lenders' incentives to run. Suppose a policymaker would like to keep a firm alive for as long as possible; should the clawback window then be as long as possible? Surprisingly, no! Having a longer clawback window can make creditors more anxious to run because they need to run early enough to ensure that their repayments will fall outside of the clawback window. The firm may fail even sooner. This novel insight allows me to study optimal parameters in these policies, such as the suspension threshold in Policy 1 and the clawback window in Policy 2. Furthermore, based on the analysis of the existing policies, I can propose new policies that could enable better coordination among investors.The project will benefit academics, policymakers, and practitioners. Dynamic coordination games have been difficult to solve traditionally. The general game-theoretic framework developed in this project will be a useful tool to assist future theoretical researchers in studying related problems in many different contexts. The model will also yield many testable implications on investors' behaviour that empirical researchers can verify using economic data. The policy implications from the model will help regulators to design more efficient termination procedures so that coordination failures among investors will be alleviated as much as possible. Practitioners will benefit from a better understanding of the mechanisms driving potential runs among investors, thereby helping them to design contract features that increase coordination among investors and minimize failures of viable businesses.

当一家公司陷入困境时，如果投资者在公司仍有偿付能力时撤回投资，而不是等到公司倒闭，他们可能会获得更好的回报。成功退出的高回报促使投资者提前退出--这种现象被称为协调失败或“挤兑”--尽管对每个人来说，上级结果是所有投资者都继续投资。这些挤兑往往导致生产性企业效率低下的终止。潜在挤兑的威胁在许多不同的市场中如此普遍，以至于激发了学者、监管者和从业者的持续兴趣。考虑以下例子：例子1（银行存款）：存款人可能担心他们的银行可能会倒闭，从而导致他们失去存款。因此，储户可能会急于赎回存款，导致银行倒闭。这种现象被称为“银行挤兑”。“例子2（公司债务）：陷入困境的公司的债权人可能有动机要求归还他们的钱，因为他们担心其他债权人要求偿还。很大一部分债权人突然要求偿还债务，可能会迫使生产性企业破产。认识到潜在挤兑的重大后果，从业人员和政策制定者制定了许多政策，以促进投资者之间的协调，例如：（暂停兑换）：当一家银行的资本外流达到一定的门槛时，银行可以暂停存款的兑换，并将剩余的资产分配给所有存款人。（可避免的优先）：在公司破产之前向贷款人偿还的款项可能会被收回，并在所有剩余的贷款人之间重新分配。根据英国的可避免优惠法例，收回期由六个月至两年不等。本研究旨在提供一个以动态博弈论为基础的一般框架，分析不同政策对投资者在公司仍在经营时的经营决策的影响。为了说明为什么需要进行这样一个系统的调查，我概述了政策2（偿还回拨）的一个意外后果。通过收回更多的还款，剩余的贷款人在破产时获得更多，使破产的破坏性较小。这一渠道降低了贷款人挤兑的动机。假设一个决策者希望尽可能长时间地维持一家公司的生存，那么，追回窗口是否应该尽可能长呢？令人惊讶的是，没有！有一个较长的追回窗口可以使债权人更急于运行，因为他们需要运行足够早，以确保他们的还款将落在追回窗口之外。公司可能会更快倒闭。这种新颖的见解使我能够研究这些策略中的最佳参数，例如策略1中的挂起阈值和策略2中的回拨窗口。此外，在对现有政策进行分析的基础上，提出能够更好地协调投资者的新政策，对学术界、政策制定者和实践者都有益处。动态协调博弈一直是传统上难以解决的问题。本计画所发展的一般性博弈理论架构，将是未来理论研究者在许多不同情境下研究相关问题的有用工具。该模型还将对投资者行为产生许多可检验的影响，实证研究人员可以使用经济数据加以验证。该模型的政策含义将有助于监管机构设计更有效的终止程序，从而尽可能减轻投资者之间的协调失败。从业者将受益于更好地了解驱动投资者之间潜在挤兑的机制，从而帮助他们设计合同功能，以增加投资者之间的协调，并最大限度地减少可行企业的失败。

项目成果

Equity Issuance Methods and Dilution

股权发行方式及稀释情况

• DOI: 10.1093/rcfs/cfac029
• 发表时间: 2023
• 期刊: The Review of Corporate Finance Studies
• 作者: Burkart M

Market Structure of Intermediation

中介市场结构

• DOI: 10.2139/ssrn.4185231
• 发表时间: 2022
• 期刊: SSRN Electronic Journal
• 作者: Zhong H

A Dynamic Model of Optimal Creditor Dispersion

最优债权人分散的动态模型

• DOI: 10.1111/jofi.12974
• 发表时间: 2020
• 期刊: The Journal of Finance
• 作者: ZHONG H

Dynamic Coordination and Bankruptcy Regulations

动态协调和破产法规

• 作者: Zhong H

Share Issues versus Share Repurchases

• DOI: 10.2139/ssrn.3489555
• 发表时间: 2019-11
• 期刊: ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Corporate Finance & Governance (Topic)
• 作者: P. Bond;Yue Yuan;Hongda Zhong