On interprète la longue récession japonaise sous l'angle des rapports entre la liquidité et la faillite.<br />Au lieu de sanctionner les pertes des banques par la faillite, les autorités y ont répondu par la<br />garantie de liquidité au niveau macro, et au niveau micro, par une modernisation des<br />microstructures du crédit pour dynamiser la liquidité des marchés, réduire le coût d'usage des<br />faillites d'entreprises et amener les banques à abandonner le système de banque principale et les<br />utiliser. Elles ont voulu aussi substituer la transparence à la norme de solvabilité pour réduire les<br />risques moraux et rendre plus crédible leur politique de durcissement gradué de la règle de faillite.<br />La liquidité micro et macro ne pouvant se développer sans discipline des paiements, le résultat<br />macro est la déflation malgré une forte dette publique et une stabilisation bancaire lente et<br />inachevée. La Grande Dépression est utilisée comme un miroir du Japon pour éclairer les<br />rapports liquidité/faillite sur les plans macro, de la politique bancaire et des restructurations<br />d'entreprises.

Cette thèse est une tentative de mieux comprendre l’impact des différentes mesures prises par les banques centrales depuis 2008, et en particulier en zone Euro. Elle se concentre sur les effets des différents politiques non-conventionnelles sur le marché monétaire. Le chapitre 1 montre comment la fragmentation du marché interbancaire perturbe la transmission de la politique monétaire. Le phénomène de fragmentation est introduit dans un modèle standard de marché interbancaire. On voit alors que de la liquidité excédentaire apparaît de façon endogène dans le modèle. Cela conduit les taux d’intérêt à court terme à s’éloigner du taux de la banque centrale. Le modèle est utilisé pour analyser les politiques conventionnelles et non conventionnelles de l’Eurosystème. Le chapitre 2 explique comment le programme d’achat de titres souverains de l’Eurosystème (le PSPP) a poussé certains taux du marché monétaire en dessous du taux de la facilité de dépôt de l’Eurosystème, qui est pourtant sensé être un plancher. Le chapitre explore empiriquement les interactions entre le PSPP et les taux d’intérêts collatéralisés. Le chapitre 3 montre comment des régulations très proches de celles de Bâle III étaient utilisées par les banques centrales dans les trois décennies qui ont suivi la Seconde Guerre mondiale. A l’époque ces régulations étaient utilisées pour stabiliser l’inflation et la production, un rôle qui serait aujourd’hui typiquement attribué à la politique monétaire (et non à la régulation bancaire). Les expériences historiques que nous décrivons montrent clairement que la régulation de la liquidité a des effets restrictifs sur l’activité. / The first chapter shows how interbank market fragmentation disrupts the transmission of monetary policy. Fragmentation is the fact that banks, depending on their country of location,have different probabilities of default on their interbank borrowings. Once fragmentation is introduced into standard theoretical models of monetary policy implementation, excess liquidity arises endogenously. This leads short-term interest rates to depart from the central bank policy rates. Using data on cross-border financial flows and monetary policy operations,it is shown that this mechanism has been at work in the Euro-Area since 2008. The model is used to analyze conventional and unconventional monetary policy measures. The second chapter shows how the Euro area money market rates have been standing below the deposit facility rate since 2015, which financial markets perceive as a byproduct of Eurosystem's public sector purchase program (PSPP). This paper explores empirically the interactions between the PSPP and short term secured money market rates (repo rates). We document different channels through which asset purchases may affect the various segments of the Euro area repo market. Using proprietary data from the PSPP and individual repo transactions made on the repo market for specific securities, our results show that the PSPP has contributed to push down repo rates. Purchasing 1% of a bond outstanding is associated with a decline in its repo rate of -0.75 bps.

This thesis consists of three chapters. The first two are regarding the political economy of international trade, the third is about empirical banking.Chapter 1 is titled "Suspiciously Timed Trade Disputes" and it is the result a joint work with Paola Conconi, David DeRemer, Georg Kirchsteiger, and Maurzio Zanardi. This Chapter is already published in the Volume 105 of the Journal of International Economics and it shows that electoral incentives crucially affect the initiation of trade disputes. Focusing on WTO disputes filed by the United States during the 1995-2014 period, we find that U.S. presidents are more likely to initiate a dispute in the year preceding their re-election. Moreover, U.S. trade disputes are more likely to involve industries that are important in swing states. To explain these regularities, we develop a theoretical model in which re-election motives can lead an incumbent politician to file trade disputes to appeal to voters motivated by reciprocity. The second chapter, titled "Trade Policy and the China Syndrome", analyzes how trade policy can be used to smooth the effects of trade liberalizations. The recent backlash against free trade is partially motivated by the decline in manufacturing employment due to rising import competition from China. Politicians in high-income countries have extensively used antidumping (AD) measures and other temporary trade barriers to protect their economies from rising Chinese imports. To estimate the causal effect of trade protection on industry outcomes, I construct a new instrument for AD measures based on the importance of an industry in swing states and the industry's experience at filing AD petitions. In this paper, I first show that trade policy contained the rise of Chinese imports in protected sectors, decreasing the annual growth rate of US imports from China in a range between 3% and 14% compared to the non-protected sectors. Second, I show that these protectionist measures have contained the "China Syndrome". In manufacturing sectors protected by AD measures, the annual growth rate of employment was between 2% and 24% higher compared to non-protected sectors. I find that previous studies that neglect the moderating impact of AD have underestimated the negative effects of Chinese import competition on US manufacturing employment by between 5% and 15%.The third chapter, titled "Bank Lending Standards and Credit to Firms during the Great Recession", is a joint work with Lorenzo Ricci and Giovanni Soggia. This chapter investigates the impact of unforeseen shifts in lending standards on firm credit in Italy on the onset of the Great Recession, using data from the Regional Bank Lending Survey to disentangle the effects of loan supply and demand.We combine our measure of change in bank supply with bank-firm loans retrieved from the credit register. Our proposed empirical strategy presents several benefits: it allows us to (i) estimate the impact of credit supply in the absence of an exogenous shock to banks, (ii) analyze credit policy throughout the sample period, and (iii) disentangle the effect of geographical heterogeneity within Italy using the rich information from our survey data. The effect of supply shocks differs across types of loans. A firm with a revocable credit line from a bank that tightens its lending standards suffers a reduction in credit growth more than if it had borrowed from a bank with unchanged lending standard. On the extensive margin, a supply shock decreases the acceptance probability of a new loan with a pronounced effect for term loans. / Doctorat en Sciences économiques et de gestion / info:eu-repo/semantics/nonPublished

The financial crisis that started in 2007 has seen central banks play an unprecedented role both to ensure financial stability and to support economic activity. While the importance of the central bank in ensuring financial stability is well known (see e.g. Padoa-Schioppa (2014)), the unprecedented nature of the financial crisis led central banks to resort to new instruments for which the literature offered little guidance. This thesis aims to bridge this gap, using both theory and data to better understand one of the main instruments used by central banks: collateralized loans. The general contribution of the thesis is thus both retrospective and forward looking. On a retrospective point of view, it helps understanding the actions of the central bank during the crisis and the mechanisms involved. Looking forward, a better understanding of the tools used during the crisis allows to better inform future policies.The first chapter starts from the observation that the literature, starting with Bagehot (1873), has generally assumed that the central bank should lend against high quality collateral. However in the 2007-2013 crisis central banks lent mostly against low quality collateral. In this chapter, we explore when it is efficient for the central bank to relax its collateral policy. In our model, a commercial bank funds projects in the real economy by borrowing against collateral from the interbank market or the central bank. While collateral prevents the bank from shirking (in the spirit of Holmstrom and Tirole (2011)), it is costly to use as its value is lower for investors and the central bank than for the bank. We find that when the bank has high levels of available collateral, it borrows in the interbank market against low collateral requirements so that the collateral policy of the central bank has no impact on banks' borrowing. However, when the amount of available collateral falls below a threshold, the lack of collateral prevents borrowing. In this case, the collateral policy of the central bank can affect lending, and it can therefore be optimal for the central bank to relax its collateral requirements to avoid the credit crunch.The second chapter focuses on collateralized loans in the context of the euro area. According to the literature on optimum currency area, one of the main drawbacks of currency unions is the inability for the central bank to accommodate asymmetric shocks with its interest rate policy. Suppose that there are 2 countries in an economy and one suffers a negative shock while the other has a positive shock. Theory would suggest an accommodative policy - low interest rates - in the first country and a restrictive policy - high interest rates - in the second one. This is however impossible in a currency union because the interest rate must be the same for both countries (Mundell 1961, McKinnon 1963, de Grauwe 2012). In this chapter I show that collateral policy can accommodate asymmetric shocks. I extend the model of collateralized lending of the first chapter to two banks A and B and two collateral types 1 and 2 .I also introduce a central bank deposit facility which allows the interest rate instrument to be compared with the collateral policy instrument in the context of a currency area hit by asymmetric shocks. Macroeconomic shocks impact the investment opportunities available to banks and the value of their collateral and the central bank seeks to steer economy rates towards a target level. I show that when banks have different collateral portfolios (as in a monetary union where banks invest in the local economy), an asymmetric shock on the quality and value of their collateral can increase interest rates in the country hit by the negative shock while keeping them unchanged in the country with a positive shock.The third chapter provides an empirical illustration of this “collateral channel” of open market operations. We use data on assets pledged by banks to the ECB from 2009 to 2011 to quantify the “collateral substitution / smoother transmission of monetary policy” trade-off faced by the central bank. We build an empirical model of collateral choice that is similar in spirit to the model on institutional demand for financial assets of Koijen (2014). We show how the haircut of the central bank can affect the relative cost of pledging collateral to the central bank and how this cost can be estimated using the amount of assets pledged by banks. Our model allows to perform a broad set of policy counterfactuals. For example, we use the recovered coefficient to assess how a 5% haircut increase on all collateral belonging to a specific asset class (e.g. government bonds or ABS) would affect the type of collateral used at the central bank. The final chapter focuses on the use of loans as collateral by banks in the euro area. While collateral is generally viewed as consisting of liquid and safe assets such as government bonds, we show that banks in Europe do use bank loans as collateral. We identify two purposes of bank loan collateral: funding and liquidity purposes. The main distinction between the two purposes is with respect to the maturity of the instruments involved: liquidity purposes refer to the use of bank loans as collateral to obtain short term liquidity and manage unexpected liquidity shocks. In practice the central bank is the main acceptor of these collateral. The second type of use is for funding purposes, in which case bank loans are used as collateral in ABSs or covered bonds. The collateral in these transactions allow banks to obtain a lower long-term funding cost. / Doctorat en Sciences économiques et de gestion / info:eu-repo/semantics/nonPublished

This thesis explores some different dimensions of business cycle analysis and monetary policy,in closed and open economies. In the first chapter, I develop a model to analyze the roleof research and development in the US business cycle, and its ability to produce macroeconomicfluctuations by generating expectations of future productivity gains. In the secondchapter, I empirically investigate how changes in central bank transparency affects financialmarkets response to central bank announcements in the United Kingdom. Finally, in thethird chapter, I analyze some heterogeneities in the international spillovers of central bankannouncements, focusing on the behavior of exchange rates and international capital flows.The first chapter studies the role of R&D-based innovation within the US business cycle. Thechapter builds on the idea that temporary business cycle frequency contractions can result inprolonged medium-run slowdowns, if an economy’s technological growth is generated by asector of profit-maximizing innovators. In order to analyse the business cycle spillovers oninnovation activity, this chapter analyzes the contribution of R&D-based innovation to USbusiness cycle dynamics combining techniques from the empirical and theoretical literature.First, using a Bayesian VAR identified with a Cholesky recursive formulation, the papershows that innovation shocks are generally inflationary and generate rises in hours worked.Second, the paper introduces a medium-scale New-Keynesian model of creative destructionthat can rationalize these facts. In the model, a sector of profit-maximizing innovators investsin R&D and endogenously generates productivity gains, ultimately determining theeconomy’s growth rate. The estimated responses to innovation shocks are characterized bypowerful wealth effects that offset the contractionary spillovers on the labour market conventionally associated with productivity increases. The estimation results suggest that thebulk of the productivity slowdown is due to a decrease in the innovation’s ability to generateproductivity gains. These findings support the view of the productivity slowdown as astand-alone phenomenon in the US business cycle as opposed to a byproduct of the GreatRecession.In the second chapter (jointly written with Andrzej Szczepaniak), we investigate the impactof monetary policy transparency measures on the relevance of the information effect channelof central bank communication. Our paper focuses on the switch in the Bank of England’scommunication strategy, occurred in August 2015, from a multi-day to a single-day releaseschedule. Before August 2015, the minutes of the monetary policy committee and the inflationreport (i.e. the Bank’s analysis of the economic outlook), were published only someweeks after the monetary policy decision. By contrast, after August 2015, the Bank of Englandstarted releasing all accompanying documents alongside the policy rate announcement,in the attempt to increase the transparency of its policy-making process.To this purpose, we construct a market surprise series for each one of the three communicationdocuments of the Bank of England (the monetary policy decision, the minutes of themonetary policy committee, and the economic outlook report) in order to evaluate the effectof central bank communication on agents’ expectations. The chapter builds on the idea thatmarket responses to central bank releases can be due either to unexpected deviations from thecentral bank’s policy rule (the policy component of the surprise), or to the revision of agents’expectations about future inflation (the informational component of the surprise). These twocomponents can be identified based on the associated reaction of equity prices. In the chapter,the policy component of the policy announcement is identified as an unexpected increasein the policy rate which results in a decline in equity prices, and the informational componentas an unexpected increase in the policy rate which results in a rise in equity prices, inaccordance with the methodology introduced by Jarocinski and Karadi (2020). We provideevidence that the informational component is a key driver of the financial market response tocentral bank communication. Before August 2015, according to our results, the informationeffect accounted for approximately two thirds of the interest rate surprise, the inflation expectations,and the equity price variation on the release days. However, we find that the switchfrom a multi-day release schedule to a single-day communication strategy markedly reducedthe importance of information effects. Our findings suggest that the degree of transparencyof a central bank’s policies significantly affects the quantitative relevance of the informationeffect and the associated asset price response.The third chapter (jointly written with Andrzej Szczepaniak), analyzes some of the internationalspillovers of central bank communication. The chapter highlights that the policy andthe informational component of central bank announcements entail different open economyspillovers. Namely, when unexpected increases in the US policy rate are associated withincreases in equity prices, the US dollar depreciates. We argue that this phenomenon occursbecause central bank information shocks affect investors’ risk perception. In response tofavorable central bank information shocks, we observe downward revisions of the level offinancial risk perceived by investors, which lead capital to flow towards emerging marketsand riskier asset classes. Conversely, in response to adverse central bank information shocks,we observe upward revisions of the level of financial risk perceived by investors, which leadcapital to flow towards the US and safer asset classes, causing an appreciation of the US dollar.In support to this hypothesis, we provide evidence of large spillover effects onto globalsafe-haven currencies, risk premia, cross-border credit, risky assets, and ultimately, on globaleconomic activity. / Doctorat en Sciences économiques et de gestion / info:eu-repo/semantics/nonPublished

L’inflation a diminué de façon importante dans les pays riches depuis le début des années 80. Cette baisse de l’inflation n’est pas un hasard et peut, en partie, être liée à la mise en place de nouvelles institutions et politiques monétaires. Ce mémoire examine la relation qui existe entre deux de ces institutions, l’indépendance politique et le conservatisme d’une banque centrale, et l’idéal d’égalité économique. Peut-on, demandons-nous, être égalitariste et défendre, à la fois, l’indépendance politique d’une banque centrale et la volonté «conservatrice» de faire de l’inflation une priorité relativement au chômage? Le mémoire se divise en trois grandes parties. Une version crédible de l’égalitarisme économique est d’abord présentée. La relation qui existe entre le phénomène d’inflation et l’égalitarisme est, ensuite, examinée. Une réflexion critique sur les fondements théoriques de l’indépendance politique et du conservatisme est, enfin, développée. Nous concluons que la théorie égalitariste ne permet pas, à elle seule, de déterminer si un modèle particulier de banque centrale est moralement désirable. Pour se porter à la défense d’une banque centrale indépendante et conservatrice, un égalitariste doit adhérer à des prémisses économiques contestées. / Inflation has been decreasing in rich countries since the beggining of the 80’s. The creation of new monetary institutions in the western world is, partly at least, responsible for this fall. This Master’s thesis examines the relation beetween the ideal of economic equality and two important monetary institutions: Central bank conservatism and political independance. Can egalitarians support, I ask, the conservatism and the political independance of a central bank? This work is divided in three parts. We, first, present a credible definition of what egalitarism is. We examine the relation that exists beetween inflation and egalitarianism. Finally, we analyse and criticize the theoretical foundation of political independance and monetary conservatism. We conclude that egalitarianism cannot determinate, by itself, the moral quality of monetary institutions. Egalitarians can defend central bank political independance and conservatism, but to do so they have to accept controversial economic premisses.

L’intégration européenne des marchés financiers semble se heurter de manière répétée à un certain type de problèmes concernant la substance et les limites conceptuelles de ce « marché » en cours d’intégration, ainsi que le statut et le rôle qu’y revêtent la monnaie, les infrastructures et la gouvernance publique. Ces problèmes et les controverses qu’ils soulèvent présentent un parallélisme avec des débats classiques de théorie économique tels que celui qui oppose les conceptions du marché comme espace sans frottements et comme processus de concurrence. Ce parallélisme est attribué ici à une « conception concurrentielle du marché » car celle-ci implique l’idée contradictoire d’une « intégration de la fragmentation ». La thèse repère ces thèmes et ces parallèles dans un grand projet récent d’intégration des infrastructures de marché financier : la plateforme paneuropéenne de règlement-livraison de titres Target2Securities (ou T2S), censée surmonter la fragmentation des systèmes qui réalisent les transferts de monnaie et de titres lors de transactions financières. L’analyse de ce projet permet en outre d’avancer une réponse à une énigme que les approches habituelles de l’intégration européenne en sociologie et en économie politique (political economy) – principalement centrées sur les intérêts et idées des acteurs les plus puissants – sont bien en peine d’éclaircir : à savoir la raison pour laquelle T2S sera de facto un monopole de la Banque centrale européenne, alors que les institutions européennes privilégient depuis le début l’intégration par les acteurs privés. La notion foucaldienne de « formation discursive » est mise à contribution pour conceptualiser ces thèses. / European integration of financial markets appears to repeatedly encounter specific kinds of problems about the substance and limits of the notion of “the market” undergoing integration, and about the status and role of money, market infrastructures, and government within it. Moreover, these problems and the controversies around them parallel classical discussions in economic theory such as that between conceptions of the market as a frictionless space and as a process of competition. A “competitive conception of the market” is identified as producing these parallel problems and controversies in European market integration and economic theory because it implies a contradictory “integration of fragmentation.” These themes and parallels can be specifically identified in a recent major project to integrate financial market infrastructures: a pan-European settlement platform – “Target2-Securities (T2S)” – to overcome existing fragmentation between the systems that perform the actual delivery of money and securities from financial transactions. Moreover, a close analysis of T2S answers a question that existing sociological and political economy approaches to European integration – focusing primarily on the interests and ideas of powerful players – struggle with: why T2S will become de facto a monopoly for the European Central Bank when early on in the integration process EU institutions emphasized an industry-led integration. Foucault’s notion of “discursive formation” is employed to conceptualize these arguments.

La fin du XXème siècle a été marquée par d'importantes mutations des marchés financiers de par leur développement, libéralisation et enfin concentration dans une dynamique transfrontalière. Un fait saillant de ces mutations est l'accélération progressive des comouvements de prix d'actifs, à la fois entre segments de marchés, mais également entre pays. Si l'ouverture des marchés de capitaux favorise une allocation optimale des ressources et des risques, cette même ouverture fait également planer un risque systémique, à l'échelle du globe de par l'intensification de ces comouvements observés en période de crise. <br />De ce fait, la multiplication des dynamiques de transmission, de plus en plus rapides se présente comme un enjeu majeur pour les décideurs politiques (banques centrales) en termes de modélisation financière pour permettre un suivi de la stabilité du système financier dans son ensemble. <br />Le premier objectif de cette thèse est d'utiliser plusieurs techniques innovantes de l'économétrie financière (notamment les modèles multifractals) qui permettent de prendre en compte à la fois les dynamiques de long terme entre différents actifs (liées par exemple à l'avènement de la zone euro) sans pour autant négliger les dynamiques de très court terme. Un second objectif est de mettre en évidence l'apport pour les décideurs politiques de l'utilisation des données à haute fréquence. Nous montrons que l'utilisation de ces données permet notamment un éclairage nouveau sur l'évaluation du cadre opérationnel de la Banque Centrale Européenne et de son interaction avec l'ensemble des marchés financiers.

L'importance de la limite zéro sur les taux d'intérêt nominaux à court terme pour la conduite de la plolitique monétaire a constitué l'un des débats les plus importants pour les autorités monétaires à la fin des années 90 au Japon et récemment aux Etats-Unis. L'expérience récente du Japon aussi bien que les niveaux bas des taux d'intérêt du Système de Fédéral Réserve, de la Banque Centrale Européenne et de la Banque d'Angleterre ont alimenté le débat sur l'efficacité de la politique monétaire lorsque l'instrument de taux de la banque centrale atteint la limite zéro. Cette thèse a pour objectif d'analyser l'influence de la politique monétaire lorsque les taux d'intérêt sont contraints à la limite zéro. Face à une menace de déflation, la banque centrale n'est pour autant pas démunie, même si son taux directeur a déjà été abaissé à un niveau proche de la limite zéro. De nombreux travaux de recherche récents, théoriques et empiriques, suscités notamment par les débats de politique économique autour de la "décennie perdue" japonaise montrent que les banques centrales peuvent mettre en œuvre un éventail de mesures dites non conventionnelles de politique monétaire pour conjurer la menace d'une crise de liquidités.

Comment la Banque Centrale Européenne (BCE) a-t-elle étendu son influence et ses compétences dans l'Union Economique et Monétaire (UEM) pendant la crise de la zone euro? Pour répondre à cette question, nous analysons le jeu politique de la BCE, basé sur un double mouvement paradoxal de défense de sa réputation originelle et d'extension de ses compétences au-delà de la sphère monétaire. Cette stratégie lui a permis de gérer les tensions et les opportunités liées à la crise de la zone euro : ses canaux d'influence (son monopole sur la liquidité, la reconnaissance de son expertise sur les marchés financiers et son autorité morale) ont plus d'impact qu'en temps normal mais, en même temps, elle la force à implémenter des politiques qui représentent un écart avec sa réputation originelle, basée sur les postulats ordo-libéraux et l'exemple de la Bundesbank. L'étude des mécanismes au cœur du processus de délégation entre les Etats de la zone euro et la BCE permet alors d'attester de la réussite de ce double mouvement et d'explorer la redéfinition de la place de la BCE au sein de l'UEM se déroulant pendant la crise. Ces éléments sont analysés à travers trois études de cas : le paramétrage des instruments de politique monétaire de la BCE pendant la crise, le processus de résolution de crise au sein de l'UEM, et la création d'un nouvel organisme de surveillance des risques macro-systémiques. La méthodologie de recherche est basée sur une approche relationnelle de la BCE qui inclut des entretiens semi-dirigés auprès d'une trentaine de hauts-dirigeants de l'UEM et une analyse des sources primaires et secondaires.