Dynamic Coordination, Runs, and Efficient Policy Design

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。成功退出所带来的更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，最好的结果是所有投资者都继续投资。这些挤兑往往导致生产企业的低效终止。在许多不同的市场中，潜在的挤兑威胁是如此普遍，以至于它激发了学者、监管机构和从业者的持续兴趣。考虑以下例子：例1（银行存款）：存款人可能担心他们的银行可能倒闭，从而导致他们失去存款。因此，储户可能会争相赎回存款，导致银行倒闭。这种现象被称为“银行挤兑”。例2（公司债务）：由于担心其他债权人要求偿还，陷入困境的公司的债权人可能会有要求返还资金的动机。很大一部分债权人突然要求偿还债务，可能会迫使生产能力强的公司破产。认识到潜在挤兑的严重后果，从业者和政策制定者制定了许多政策来促进投资者之间的协调，例如：政策1（暂停可兑换性）：当资本从银行流出达到一定阈值时，银行可以暂停存款的可兑换性，并将剩余资产分配给所有存款人。政策2（可避免的优先）：在公司破产之前偿还给贷款人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立法，追回窗口从6个月到2年不等。该项目的目的是提供一个基于动态博弈论的总体框架，并分析当公司仍在运营时，不同政策对投资者决策的影响。为了了解为什么有必要进行这样的系统调查，我概述了政策2（还款追回）的一个意想不到的后果。通过收回更多的还款，剩下的贷款人在破产的情况下得到更多，使破产的破坏性降低。这一渠道降低了贷款人的经营动机。假设一位政策制定者希望让一家公司尽可能长久地存活下去；那么，追回的窗口是否应该越长越好？令人惊讶的是,不!更长的收回窗口会让债权人更急于逃跑，因为他们需要足够早地逃跑，以确保他们的还款不会落在收回窗口之外。这家公司甚至可能更快倒闭。这种新颖的见解使我能够研究这些策略中的最优参数，例如策略1中的挂起阈值和策略2中的回滚窗口。此外，在分析现有政策的基础上，我可以提出新的政策，使投资者之间更好地协调。该项目将使学者、政策制定者和实践者受益。动态协调博弈一直是传统上难以解决的问题。在这个项目中发展的一般博弈论框架将是一个有用的工具，以帮助未来的理论研究人员在许多不同的背景下研究相关问题。该模型还将对投资者行为产生许多可检验的影响，实证研究人员可以利用经济数据对其进行验证。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。从业者将从更好地理解驱动投资者之间潜在运行的机制中受益，从而帮助他们设计契约特征，增加投资者之间的协调，并最大限度地减少可行业务的失败。

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.