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.

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自我实现运行：来自美国人寿保险业的证据

投资者之间不断恶化的基本面和战略互补性的相互作用使得识别自我实现的运行具有挑战性。我们提出了一个动态模型来展示如何利用公司负债结构的外生变化来获得战略互补强度的变化。将这种识别策略应用于美国人寿保险公司提供的可回售证券，我们发现在 2007-8 年危机期间机构投资者对人寿保险公司的投资 180 亿美元中，至少有 40% 被自我实现的预期放大了。我们的研究结果表明，机构投资者同时进行的其他影子银行挤兑可能具有自我实现的成分。