监管者的职业选择：旋转门、监管信号与企业尾部风险

中文摘要 AI 辅助

本文构建了一个旋转门模型，在该模型中，监管者在设计影响受监管企业资本结构的政策信号的同时，持有离开公共服务部门、转投受监管企业或其顾问方的隐性职业选择权。该模型包含三个相互关联的机制。首先，监管信号通过改变消费者剩余与企业利润之间的权衡，影响企业的定价、杠杆和风险选择。其次，由于监管者的外部收益是受监管企业价值的凸函数，职业选择权随企业价值、杠杆以及信号引致的波动率上升而增加。第三，当信号引致的波动率提高企业股权的期权vega时，同一机制可能增加尾部风险并缩短违约距离。一项概念验证校准展示了杠杆-vega预警区域，并说明了监管者引致的信号如何将企业从可行杠杆区域推入早期预警或崩溃风险区域。该校准包括期限比较、关于薪酬凸性和初始杠杆的敏感性网格、银行类参数锚定、随机信号模拟以及停止时域诊断。来自联邦薪资数据中关于离职后限制的证据支持了职业选择权这一基本假设，表明对旋转门机会的限制会影响离职后的机构薪酬。这些练习还梳理了历史上的监管失败案例：雷曼兄弟作为监管真空案例，硅谷银行作为信号扭曲和监管薄弱案例，签名银行作为转换信号案例，涉及公共服务后激励、监管宽松、快速增长、未保险存款敞口和尾部风险。该模型不预测崩溃日期；它识别了监管宽容、债务惩罚薄弱和职业选择权激励可能推迟监管介入、直至企业跨越杠杆-vega预警阈值的条件。

英文摘要

This paper develops a revolving-door model in which a regulator designs policy signals that affect a regulated firm's capital structure while holding an implicit career option to leave public service for the regulated firm or its advisers. The model has three linked mechanisms. First, regulatory signals alter the firm's pricing, leverage, and risk choices by changing the tradeoff between consumer surplus and firm profit. Second, because the regulator's outside payoff is convex in regulated-firm value, the career option rises with firm value, leverage, and signal-induced volatility. Third, when signal-induced volatility raises the option vega of firm equity, the same mechanism can increase tail risk and reduce distance to default. A proof-of-concept calibration illustrates leverage-vega warning regions and shows how a regulator-induced signal can move a firm from a go-leverage region into an early-warning or crash-risk region. The calibration includes maturity comparisons, sensitivity grids over compensation convexity and initial leverage, a bank-like parameter anchor, stochastic signal simulations, and a stopping-horizon diagnostic. Evidence from federal payroll data on post-employment restrictions supports the career-option primitive by showing that limits on revolving-door opportunities affect post-agency pay. The exercises also organize historical regulatory failures: Lehman Brothers as a regulatory-vacuum case, Silicon Valley Bank as a distorted-signal and weak-supervision case, and Signature Bank as a converted-signal case involving post-public-service incentives, lighter oversight, rapid growth, uninsured-deposit exposure, and tail risk. The model does not predict collapse dates; it identifies conditions under which regulatory forbearance, weak debt penalties, and career-option incentives can delay oversight until firms cross a leverage-vega warning threshold.

发表机构

• University of Leicester（莱斯特大学）

机构由 AI 辅助整理，请以论文原文为准。