Self-Fulfilling Runs: Evidence from the US Life Insurance Industry

• 成果类型: Article
• 署名作者: Foley-Fisher, Nathan; Narajabad, Borghan; Verani, Stephane
• 署名单位: Federal Reserve System - USA; Federal Reserve System Board of Governors
• 刊物名称: JOURNAL OF POLITICAL ECONOMY
• ISSN/ISSBN: 0022-3808
• DOI: 10.1086/708817
• 发表日期: 2020
• 页码: 3520-3569
• 关键词: FINANCIAL FRAGILITY EVIDENCE; Bank runs; panics; INFORMATION; collapse; MODEL

摘要

The interaction of worsening fundamentals and strategic complementarities among investors renders identification of self-fulfilling runs challenging. We propose a dynamic model to show how exogenous variation in firms' liability structures can be exploited to obtain variation in the strength of strategic complementarities. Applying this identification strategy to puttable securities offered by US life insurers, we find that at least 40% of the $18 billion run on life insurers by institutional investors during the 2007-8 crisis was amplified by self-fulfilling expectations. Our findings suggest that other contemporaneous runs in shadow banking by institutional investors may have had a self-fulfilling component.