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.

当公司陷入困境时，投资者如果在公司仍有偿付能力的情况下撤回投资，而不是等到公司被终止，也许能够获得更好的回报。成功退出带来的更高回报会激励投资者提前退出——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。这些挤兑常常导致生产性企业的低效终止。潜在挤兑的威胁在许多不同市场如此普遍，以至于激发了学术界、监管机构和从业者的持续兴趣。请考虑以下示例：示例 1（银行存款）：储户可能担心银行可能倒闭，从而导致他们损失存款。因此，储户可能会急于赎回存款，从而导致银行倒闭。这种现象被称为“银行挤兑”。 示例 2（公司债务）：陷入困境的公司的债权人可能会因为担心其他债权人要求偿还而有动机要求归还其资金。很大一部分债权人突然要求偿还债务，可能会迫使生产性公司破产。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）：当银行的资本流出达到一定阈值时，银行可以暂停存款的可兑换，并将剩余资产分配给所有储户。政策2（可避免的优惠）：提前还款给贷方公司破产后可能会受到追回并在所有剩余贷款人之间重新分配。根据英国的可避免优惠立法，回拨窗口范围从六个月到两年不等。本项目的目的是提供一个基于动态博弈论的总体框架，并分析不同政策对投资者经营决策的影响。当公司仍在运营时。为了了解为什么需要进行这样的系统调查，我概述了政策 2（还款追回）的意外后果。通过收回更多还款，剩余的贷方在破产时可以获得更多收益，从而减少破产的破坏性。这种渠道降低了贷款人的挤兑积极性。假设政策制定者希望让一家公司尽可能长久地生存；那么回拨窗口应该尽可能长吗？令人惊讶的是，没有！较长的回拨窗口可能会让债权人更急于逃跑，因为他们需要尽早执行，以确保其还款落在回拨窗口之外。该公司可能会更快倒闭。这种新颖的见解使我能够研究这些政策中的最佳参数，例如政策 1 中的暂停阈值和政策 2 中的回拨窗口。此外，基于对现有政策的分析，我可以提出可以实现更好协调的新政策该项目将使学者、政策制定者和从业者受益。传统上，动态协调博弈很难解决。该项目开发的通用博弈论框架将成为帮助未来理论研究人员研究许多不同背景下的相关问题的有用工具。该模型还将对投资者的行为产生许多可测试的影响，实证研究人员可以使用经济数据来验证这些影响。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，从而尽可能缓解投资者之间的协调失败。从业者将受益于更好地理解驱动投资者潜在挤兑的机制，从而帮助他们设计合同特征，以加强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

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

Dynamic Coordination and Bankruptcy Regulations

动态协调和破产法规

• 作者: Zhong H