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Submitted by Jefferson Bertolai (jdonizeti@fgvmail.br) on 2012-12-10T19:34:37Z No. of bitstreams: 1 thesis3.pdf: 652761 bytes, checksum: 8b49645ceaf7c2b51d6842e8637760cf (MD5) / Approved for entry into archive by Marcia Bacha (marcia.bacha@fgv.br) on 2013-02-27T12:48:53Z (GMT) No. of bitstreams: 1 thesis3.pdf: 652761 bytes, checksum: 8b49645ceaf7c2b51d6842e8637760cf (MD5) / Made available in DSpace on 2013-02-27T12:49:06Z (GMT). No. of bitstreams: 1 thesis3.pdf: 652761 bytes, checksum: 8b49645ceaf7c2b51d6842e8637760cf (MD5) Previous issue date: 2012-08-24 / This thesis is dedicated to the study of both financial instability and dynamics in monetary theory. It is shown that bank runs are costless prevented in the standard model of banking theory when population is not small. An extension is proposed where aggregate uncertainty is more severe and fi nancial stability cost is relevant. Finally, transitions in the distribution of money are shown to be optimal in an economy where exchanges opportunities are scarce and heterogeneous. In particular, optimality of inflation depends on dynamic incentives provided by such transitions. Chapter 1 establishes the costless result for large economies by studying the e ffects of population size in the Peck-Shell analysis of bank runs. In chapter 2, dynamics optimality is studied in Kiyotaki-Wright monetary model when society is able to implement a inflationary policy. Despite adopting the mechanism design approach, this chapter parallels Sargent and Wallace (1981) analysis in highlighting dynamic incentives to the interaction between fiscal and monetary policies. Chapter 3 returns to the issue of financial stability by quantifying the costs involved in optimally designing a run-proof banking sector and by proposing an alternative information structure which allows for insolvent banks. Former analysis shows that optimal stability scheme features high long term interest rates, and the latter that imperfect monitoring can lead to bank runs with insolvency. / Esta tese de Doutorado é dedicada ao estudo de instabilidade financeira e dinâmica em Teoria Monet ária. E demonstrado que corridas banc árias são eliminadas sem custos no modelo padrão de teoria banc ária quando a popula ção não é pequena. É proposta uma extensão em que incerteza agregada é mais severa e o custo da estabilidade financeira é relevante. Finalmente, estabelece-se otimalidade de transições na distribui ção de moeda em economias em que oportunidades de trocas são escassas e heterogêneas. Em particular, otimalidade da inflação depende dos incentivos dinâmicos proporcionados por tais transi ções. O capí tulo 1 estabelece o resultado de estabilidade sem custos para economias grandes ao estudar os efeitos do tamanho populacional na an álise de corridas banc árias de Peck & Shell. No capí tulo 2, otimalidade de dinâmica é estudada no modelo de monet ário de Kiyotaki & Wright quando a sociedade é capaz de implementar uma polí tica inflacion ária. Apesar de adotar a abordagem de desenho de mecanismos, este capí tulo faz um paralelo com a an álise de Sargent & Wallace (1981) ao destacar efeitos de incentivos dinâmicos sobre a interação entre as polí ticas monet ária e fiscal. O cap ítulo 3 retoma o tema de estabilidade fi nanceira ao quanti car os custos envolvidos no desenho ótimo de um setor bancário à prova de corridas e ao propor uma estrutura informacional alternativa que possibilita bancos insolventes. A primeira an álise mostra que o esquema de estabilidade ótima exibe altas taxas de juros de longo prazo e a segunda que monitoramento imperfeito pode levar a corridas bancárias com insolvência.

Cette thèse est composée de trois chapitres distincts. Dans le premier chapitre, coécrit avec Edouard Challe, nous analysons la détermination jointe de l'information incorporée dans les prix, et la composition du marché par type d’ordres sur un marché d'actifs avec information dispersée. La microstructure du marché est telle que les agents informés peuvent placer soit des ordres de marché simples, soit un ensemble d’ordres limites. Les market-makers établissent le prix. Les agents utilisant des ordres de marché simple négocient moins agressivement sur leur information et réduisent ainsi le contenu informationnel du prix; dans un marché où seul ce type d’ordre est présent, l'information incorporée dans le prix est limitée, quelle que soit la qualité de l'information des agents sur le dividende de l'actif. Lorsque les agents peuvent choisir leur type d'ordre et les ordres limites sont plus coûteux que les ordres de marché, alors les agents choisissent majoritairement les ordres de marché lorsque la précision des signaux privés tend vers l'infini. Les ordres limites sont des substituts: à des niveaux élevés de précision, une fraction résiduelle d’agents plaçant des ordres limites est suffisante pour aligner le prix aux signaux des agents, et donc au dividende. Ainsi le gain à conditionner ses ordres au prix (via des ordres limites) en plus de son propre signal (comme le font tous les agents) disparaît. Nous appliquons ensuite ce mécanisme dans le deuxième chapitre de cette thèse. Les spéculateurs envisageant une attaque (comme dans le cas des crises de change) doivent deviner les croyances des autres spéculateurs, ce qu'ils peuvent faire en regardant le marché boursier. Ce chapitre examine si ce processus de collecte d'informations est stabilisateur, en ancrant mieux les attentes ou déstabilisateur en générant des équilibres multiples. Pour ce faire, nous étudions les résultats d'un jeu global en deux étapes où un prix d'actif déterminé au stade de négociation du jeu fournit un signal public endogène sur le fondamental qui affecte la décision des agents d'attaquer dans la phase de coordination du jeu. La microstructure du marché d’actif reprend celle étudiée dans le premier chapitre. Les frictions de microstructure qui conduisent à une plus grande exposition individuelle (au risque d'exécution des prix) peuvent réduire l'incertitude agrégée (en fixant un résultat d'équilibre unique). Enfin, dans le troisième chapitre, en collaboration avec Victor Lyonnet, nous présentons un modèle des interactions entre les banques traditionnelles et les shadow banks qui parle de leur coexistence. Au cours de la crise financière de 2007, certains actifs et passifs des shadow banks sont passées aux banques traditionnelles et les actifs ont été vendus à des prix de fire sale. Notre modèle réplique ces faits stylisés. La différence entre les banques traditionnelles et les shadow banks est double. Premièrement, les banques traditionnelles ont accès à un fonds de garantie qui leur permet de se financer sans risque en période de crise. Deuxièmement, les banques traditionnelles doivent respecter une réglementation coûteuse. Nous montrons qu'en cas de crise, les shadow banks liquident les actifs pour rembourser leurs créanciers, alors que les banques traditionnelles achètent ces actifs à des prix de fire sale. Cet échange d'actifs en temps de crise génère une complémentarité entre les banques traditionnelles et les shadow banks, où chaque type d'intermédiaire profite de la présence de l'autre. Nous constatons deux effets concurrents d'une petite diminution du soutien des banques traditionnelles en période de crise, que nous appelons effet de substitution et effet de revenu. Ce dernier effet domine le premier, de sorte qu’un niveau de soutien anticipé plus faible aux banques traditionnelles en temps de crise induit plus de banquiers à s’orienter vers le secteur traditionnel ex-ante. / This dissertation is made of three distinct chapters. In the first chapter, which is joint with Edouard Challe, we analyse the joint determination of price informativeness and the composition of the market by order type in a large asset market with dispersed information. The market microstructure is one in which informed traders may place market orders or full demand schedules and where market makers set the price. Market-order traders trade less aggressively on their information and thus reduce the informativeness of the price; in a full market-order market, price informativeness is bounded, whatever the quality of traders’ information about the asset’s dividend. When traders can choose their order type and demand schedules are (even marginally) costlier than market orders, then market-order traders overwhelm the market when the precision of private signals goes to infinity. This is because demand schedules are substitutes: at high levels of precision, a residual fraction of demand-schedule traders is sufficient to take the trading price close to traders’ signals, while the latter is itself well aligned with the dividend. Hence, the gain from trading conditional on the price (as demand-schedule traders do) in addition to one’s own signal (as all informed traders do) vanishes. We then apply this idea in the second chapter of this dissertation. Speculators contemplating an attack (e.g., on a currency peg) must guess the beliefs of other speculators, which they can do by looking at the stock market. This chapter examines whether this information-gathering process is stabilizing by better anchoring expectations or destabilizing by creating multiple self-fulfilling equilibria. To do so, we study the outcome of a two-stage global game wherein an asset price determined at the trading stage of the game provides an endogenous public signal about the fundamental that affects traders’ decision to attack in the coordination stage of the game. The trading stage follows the microstructure of the first chapter. Price execution risk reduces traders’ aggressiveness and hence slows down information aggregation, which ultimately makes multiple equilibria in the coordination stage less likely. In this sense, microstructure frictions that lead to greater individual exposure (to price execution risk) may reduce aggregate uncertainty (by pinning down a unique equilibrium outcome). Finally, in the third chapter, joint with Victor Lyonnet, we present a model of the interactions between traditional and shadow banks that speaks to their coexistence. In the 2007 financial crisis, some of shadow banks’ assets and liabilities have moved to traditional banks, and assets were sold at fire sale prices. Our model is able to accommodate these stylized facts. The difference between traditional and shadow banks is twofold. First, traditional banks have access to a guarantee fund that enables them to issue claims to households in a crisis. Second, traditional banks have to comply with costly regulation. We show that in a crisis, shadow banks liquidate assets to repay their creditors, while traditional banks purchase these assets at fire-sale prices. This exchange of assets in a crisis generates a complementarity between traditional and shadow banks, where each type of intermediary benefits from the presence of the other. We find two competing effects from a small decrease in traditional banks’ support in a crisis, which we dub a substitution effect and an income effect. The latter effect dominates the former, so that lower anticipated support to traditional banks in a crisis induces more bankers to run a traditional bank ex-ante.