Systemic riskWord文档格式.docx

Systemic riskWord文档格式.docx

《Systemic riskWord文档格式.docx》由会员分享，可在线阅读，更多相关《Systemic riskWord文档格式.docx（23页珍藏版）》请在冰点文库上搜索。

SiewHongTeoh（PaulMerageSchoolofBusiness,UniversityofCalifornia,Irvine,California,USA）

Citation:

DavidHirshleifer,SiewHongTeoh,（2009）"

Applicationstotaxandaccountingpolicy"

JournalofFinancialEconomicPolicy,Vol.1Iss:

2,pp.128-142

DOIhttp:

//dx.doi.org/10.1108/175********010245

Downloads:

Thefulltextofthisdocumenthasbeendownloaded502timessince2009

Acknowledgements:

TheauthorswouldliketothankSheridanTitmanforvaluableinsightsanddiscussionsinthedevelopmentofthispaper.

Abstract:

Purpose

–Sometimesresourcesarebadlyemployedbecauseofcoordinationfailures.Actionsbydecisionmakersthataffectthelikelihoodofsuchfailuresaresometimessaidtocause“systemicrisk.”Thispaperseekstoconsidertheexternalityinthechoiceofexanteriskmanagementpoliciesbyindividualsandfirms,concernedwithprivaterisk,notwiththeircontributiontosystemicrisk.

Design/methodology/approach

–Theimplicationsfordebatesoverfairvalueaccountingareconsidered.

Findings

–Oneconsequenceisthatindividualsandfirmsbecomeoverleveragedfromasocialviewpoint.Therecentcreditcrisisexemplifiestheimportanceofthisproblem.TheUStaxsystemtaxesequitymoreheavilythandebt,andthereforeexacerbatesthebiastowardoverleveraging.Apossiblesolutionistoreduceoreliminatetaxationofcorporateincomeandcapitalgains.Preparednessexternalitiescanalsocausefirmstobecometootransparent,andtherebysubjecttofinancialruns.

Originality/value

–Thepaperoffersinsightsintosystemicrisk,coordinationfailures,andpreparednessexternalities,focusingontaxandaccountingpolicy.

Keywords:

Riskanalysis,Taxation,Accountingpolicy,Economicconditions,UnitedStatesofAmerica

Type:

Researchpaper

Publisher:

EmeraldGroupPublishingLimited

Article

1Introduction

1.1Preparednessexternalities,coordinationfailures,andcrises

Accordingtomacroeconomictheory,sometimescoordinationfailurescauseresourcestobebadlyemployed.Duringrecessions,individualshavetroublefindingjobsand,despitetheavailabilityofcheaplaborandotherinputs,firmsstockpilecashandrefrainfromhiringandinvesting.

Discussionsoffinancialcrisesoftenconsider“systemicrisk”thatarisesfromthepossibilitythatthefailureofoneorafewlargefinancialfirmscouldcreateachainreactionthatdamagestheentirefinancialsystem.Therecentfinancialcrisishashighlightedtheinterdependenceoffinancialfirmsandtheimportanceofsystemicrisk.

Failureofthefinancialsysteminturncancausecoordinationfailuresintherealeconomy.Iffirmscannotraisecapitaleasily,theyneedtoreduceinvestment,cutemployment,andstockpilecash.Sotheproblemofmanagingsystemicriskispartofthegeneralproblemofavoidingcoordinationfailures.

Problemsofsystemicriskareusuallydiscussedfromtheviewpointofregulatorslimitingtheexcessiverisk‐takingoffinancialfirms.However,thisbegsthequestionofwhyprivatefirmswouldwanttotakeexcessiverisk.Thereisanobviousexplanationinthecaseofbanks,sincedepositinsuranceprovidesagovernmentsubsidytorisk‐taking.Butmoregenerally,settingasidetheprospectofexpostgovernmentrescuesorbailouts[1],itisnotentirelyclearwhyhedgefunds,investmentbanks,insurancecompanies,andotherfinancialentities–aswellasindustrialfirms–wouldwanttotakeexcessiverisk.

Thereareofcourse,severalspecificexplanationsthathavebeenoffered.Forexample,itisoftensaidthatthecompensationcontractsoffundmanagersorinvestmentbankersencourageexcessiverisk‐taking.Corporatemanagersaresaidtobedriventoriskbystockoptioncompensation.Alternatively,equity‐basedcompensationandreputationalconsiderationsaresaidtoprovideexcessiveincentivestofocusontheshort‐term,sothatduringabubble,whilethemusicisplaying,financialmanagersfeeltheyhavetokeepdancing.

Regardlessoftheirvalidity,atleastsomeoftheseargumentsarenotfundamental.Forexample,ifhedgefundcompensationencouragesexcessiverisktaking,itwouldbefeasibletoofferamoreconcavecompensationschemethatencourageslessrisk‐taking.Corporatemanagerscouldbegivenmoresalaryandfeweroptions[2].

Wearguethatthemorefundamentalproblemisamismatchbetweentheprivateandsocialcostsofrisk‐taking.Aninvestordoesnotmindthatthefundorfirmheinvestsincontributestosystemicrisk,becausetheinvestordoesnotbearthefullcostofthiscontribution.Itisthisexternalitywhichallowscompensationcontractsandinstitutionalformstopersistthatresultinexcessiveriskfromasocialpointofview.

Ingeneral,individualsandfirmscantakemanykindsofprioractionsthatpreparethemforadversemacroeconomicshocks.Theycanundertakeformalriskmanagementstrategiessuchasaprogramforhedging,deleverage,andmaintainahighercashbuffer,followdisclosureandreportingpoliciesthatmakeithardoreasyforstakeholderstoseewhetherthefirmisintrouble,anddesigncontracts,institutions,andincentiveschemesthatpreventagentsfromtakingexcessiverisk.Wecallchoicesthatmakethefirmmoreresilienttobadstatesoftheworldpreparednessactivities.

Ourthesisisthatbecauseofthepossibilityofcoordinationfailures,thereisapositiveexternalityinpreparingforbadtimes.Anexamplemakesthisconcrete.Supposethatanautomobilefirmhaslowpreparedness,i.e.ithashighleverageandlowcash.Thenintheeventofarecession,thefirmismorelikelytoneedtolayoffworkersandcutbackoninvestment.Thisharmsworkersandsuppliers,whointurnwillneedtocutbackontheirdemandsfromotherfirms.Thefirm'

scutbackscancontributetoachainreactionandtoageneralrecession.Suchachainreactioncouldinsteadstartwithashocktofinancialfirms.

Exante,theownersoftheautomobilefirmdonotliketheprospectthattheirfirmmayhavetocutbackonneededinvestment.Buttheyarenotconcernedaboutthefactthatshouldtheylayoffemployees,thoseemployeeswillcuttheirdemandsfortheproductsofotherfirms.Similarly,theownersoftheautofirmdonotcarethattheirsupplierswillbehurt,andthesuppliersoftheirsuppliers.Soinchoosingitsoptimallevelofpreparedness,theownersandmanagersoftheautofirmwillnottakeintoaccountthebenefitthatpreparednessconfersuponothersthroughouttheeconomy–thebenefitofmitigatingcoordinationfailures.Ourpurposehereistoexplorethepolicyimplicationsofthesepreparednessexternalities.

Regardlessofwhetherthereiscomplementarityorsubstitutabilityinthepreparednesschoicesofdifferentparties,itremainsthecasethattheincentivetoinvestinpreparednessis,fromasocialviewpoint,insufficient.Asarguedabove,apreparedpartydoesnotabsorbthefullbenefitofpreparedness,becausethepartydoesnotbearthefullcostofitscontributiontocoordinationfailure.

1.2Policyimplications

Wewillmainlyconsidertwoapplicationsofpreparednessexternalities,totaxpolicyandtoaccountingpolicy.Minimizingsystemicriskhasbeenakeyconcernoffinancialregulators[3].Regulatorsoftenchooseextremelycostlyexpostresponsestofinancialcrises[4].Giventhehighexpostcostsofbubblesandpanics,itisimportanttostepbackandthinkaboutwhetherexistingrulesofthegamecontributeexantetotheiroccurrence.Justasitisoftencheaperandmoreeffectivetopreventadiseasethantotreatit,exantepolicytoolstopreventtheformationofbubblesmaybemuchcheaperthanexposttreatments.

Wefocusonhowtaxesandaccountingpolicycanexacerbatesystemicrisk.Ourargumentwithrespecttotaxesfocusesonfinancialslackasameansofpreparingforbadtimes.Inversely,akeysourceofsystemicriskisleverage.Attheleveloftheindividualfirm,anoverhangofexcessivedebtcreatescostsoffinancialdistress.Thefirmisforcedtocutinvestment,andengageinrenegotiationwithcreditors.Ifafirm'

sstockpricedropsandithasanoverhangofdebt,itbecomeshardtoraisenewcapitaltocoverneededexpenditures.Thisadverselyaffectsitsemployeesandsuppliers.Afinancialfirmcutsbackonsupplyingcapitaltootherfirms.

Duringbadtimes,problemsofdebtoverhang,risk‐shifting,andrenegotiationbecomesevere,causingunderinvestment,andrisk‐shiftingbyindividualfirms.Fortheeconomy,owingtocreditlinkagesbetweenfirms,afinanciallydistressedfirm'

sdefaultcantriggerdistressofitslender,andtherebyinfectotherfirmsinturn.Similarly,defaultcancreatedistressforfirmsthathaveprovidedinsurancetoothercreditorsthroughinterestrateswaps.Chainsofcreditacrossfirms,thecomplexityofrisksharingarrangements,andintransparencyinthereportingofwhoholdsexactlywhatrisksandclaimsmakevaluationandrenegotiatingcapitalstructuredifficult[5].

Indiscussionsofsystemicrisk,financialcrises,andmacroeconomicfluctuations,taxpolicyhashadaverylowprofile.Similarly,discussionsoftaxpolicyseldomconsidertheeffectonpreparednessandsystemicrisk.Forexample,inanextensiveoverviewofwhatweknowaboutcorporatetaxationandpossiblewaystoreformit,Auerbachetal.（2008）devotelittleattentiontoleverage,anddonotdiscusstheeffectsoftaxpolicyoncoordinationfailureorsystemicrisk.

Wewillarguethatthisisamajor