Fixed Prices and Regulatory Discretion as Triggers for Contingent Capital Conversion: An Experimental Examination

B-Tier
Journal: International Journal of Central Banking
Year: 2017
Volume: 13
Issue: 2
Pages: 33-71

Score contribution per author:

1.005 = (α=2.01 / 2 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

We report a laboratory experiment that evaluates two price-based mechanisms for triggering the conversion of contingent-capital bonds into equity: a regulator who decides based on observed prices and a mechanistic fixed-price trigger. We find that when conversion decreases incumbent equity value, the regulator mechanism generates fewer conversion errors, particularly in environments where incentives bias a regulator against conversion and where a regulator receives his own signal. In contrast, when conversion increases incumbent equity value, a fixed-price trigger generates fewer conversion errors in these environments as well as when the regulator has the option to delay conversion.

Technical Details

RePEc Handle
repec:ijc:ijcjou:y:2017:q:2:a:2
Journal Field
Macro
Author Count
2
Added to Database
2026-01-25