Le but de ce travail est de réfléchir sur la problématique de l'endettement d'un gouvernement, des multiples justifications pour recourir à l'emprunt et de ses conséquences économiques, tant sur les divers agents économiques que sur l'activité économique globale. L'approche choisie est de présenter un modèle mathématique décrivant une petite économie ouverte fictive et d'y effectuer des simulations par ordinateur représentant plusieurs scénarios d'endettement. Je recense ainsi la plupart des situations imaginables : d'un gouvernement qui accroît son endettement afin de diminuer les impôts au gouvernement interventionniste qui accroît les dépenses publiques afin de stimuler l'activité économique à court terme, sans oublier le gouvernement qui contracte des emprunts uniquement afin d'amortir les investissements publics en infrastructures. Toutes ces simulations sont ensuite comparées à une situation de référence afin d'en dégager des conclusions. Le modèle informatique est lourd et la valeur de plusieurs variables doit être déterminée arbitrairement. La valeur et l'amplitude des résultats ne doivent donc pas être pris au premier degré. Par contre le but n'était pas d'aboutir à une mesure précise des conséquences économiques, mais plutôt de développer un cadre d'analyse général permettant de comparer plusieurs scénarios différents, de mieux comprendre la mécanique des différents canaux de transmission des chocs économiques et, souhaitons-le, de dégager une conclusion commune a ces différentes simulations. A cet effet, bien que les chocs microéconomiques diffèrent selon que l'action d'un gouvernement cible différents groupes économiques, il existe un dénominateur commun évident: un gouvernement s'endette parce qu'il ne taxe suffisamment pour financer ses dépenses. Alors que la taxation effectuera des prélèvements sur le revenu, les profits, les dépenses de consommation et autres, l'endettement de son côté agit comme une taxe sur l'épargne. Les fonds prêtés au gouvernement ne sont pas prêtés aux investisseurs privés et dès lors, a moins que la réserve de fonds prêtables soit illimitée, l'investissement privé et la croissance économique en souffriront. Il s'agit de la conclusion générale qui apparaît dans la plupart des simulations, sauf exception. Si l'ont dit souvent qu'un ménage doit dépenser selon ses moyens, cet adage est toujours vrai dans le cas d'un gouvernement.

La thèse examine le cadre juridique de la restructuration de la dette souveraine vis-à-vis des créanciers privés et le rôle joué par le droit international public. La problématique est la suivante : Quel est le rôle actuel et potentiel du droit international public dans la restructuration de dettes souveraines ? Le cadre juridique actuel est fragmenté, avec une multitude d'acteurs et de pratiques. Le contexte politique influence le processus plus que des coutumes ou des principes généraux. La jurisprudence révèle les défis pour les cours nationales et les tribunaux internationaux. L'approche contractuelle incite les créanciers à un contentieux créatif, qui perturbe les négociations. L'arbitrage relatif aux investissements s'est révélé inadéquat. Les incohérences entre les différents fora entraînent des résultats insatisfaisants pour les créanciers et les débiteurs, au détriment de la sécurité juridique. Pour les perspectives d'avenir, les concepts de dette odieuse et d'état de nécessité ne peuvent offrir que des améliorations limitées. Leur contenu apparaît trop peu défini pour protéger une restructuration. La réforme du cadre juridique de la restructuration de la dette souveraine a mis en concurrence les approches fondées sur le droit international public et sur le droit privé. Cela a été le plus évident avec le processus à l'Assemblée générale des Nations Unies et la modification concomitante des clauses contractuelles. Un cadre futur pourrait inclure une réduction de l'accès au contentieux, un rôle plus important reconnu aux droits de l'homme de la population débitrice et une action de l'Union européenne à mi-chemin entre les deux approches. / This thesis considers the legal framework of sovereign debt restructuring in relation to private creditors and the relevant rules of public international law. The research question is : What is the actual and potential role of public international law in sovereign debt restructurings ? The current legal framework is fragmented, and a multitude of actors and practices coexist. Political expediency governs the process and the outcomes, with little room for customary rules or general principles of law. The case law reveals the challenges for both domestic courts and international tribunals in dealing with sovereign debt restructurings. The contractual approach provides incentives for creditors to attempt creative litigation, which disrupts negotiations. Investment arbitration has proved an inadequate response. The inconsistencies among the different fora bring about unsatisfactory results for creditors and debtors alike, let alone the implications for legal certainty. For the future prospects, the concepts of odious debt and state of necessity can provide limited improvements, at best. Their content and contours appear too ill-defined to be relied upon by States wishing to shield a restructuring. The reform of the legal framework for sovereign debt restructuring has set a competition between approaches based on public international law and on private law. This has been most evident with the process at the United Nations General Assembly and the concomitant modification of contractual clauses. A future framework could potentially feature less avenues for litigation, a focus on the human rights of the debtor population, and a middle ground shaped by the European Union.

The financial crisis of 2007-2009 led to a large increase in the government debt of all advanced economies. In the United States, the debt burden reached levels not seen since the Second World War. In Europe, high fiscal stress evolved into a sovereign debt crisis. My thesis focuses on debt dynamics in advanced economies and the design of policies that can stabilize their fiscal burden. In the first chapter, I provide new evidence and theory on US debt dynamics and their relation with long-term growth forecasts. In the second chapter, I document a novel dataset on the maturity structure of sovereign debt of Euro Area (EA) countries and study the effect of the maturity composition on debt dynamics. Finally, in the third chapter, I analyze empirically the role of debt management in stabilizing the fiscal burden of countries in the EA.<p><p>Chapter 1: Sovereign Debt in the US and Growth Expectations<p><p>This chapter studies the effect of changes in expectations of long-term GDP growth on US government debt and deficits. Long-term growth expectations are an essential determinant of expected future revenue growth and fiscal solvency. I present evidence that US government debt and deficits are positively correlated with long-term GDP (and revenue) growth forecasts from the Congressional Budget Office between 1984 and 2012. This is robust to controlling for current growth and to using à-la-Kalman estimated forecasts for a longer time span. This stylized fact is novel in the macroeconomics literature and I develop a new model of government behavior that explains it.<p>My model features endogenous (forward-looking) purchasing behavior for the government. This distinguishes my model from standard macro theories that assume exogenous government purchases, or ad-hoc backward looking policy rules for government purchases. It builds on the recent ‘long-run risks’ literature by assuming shocks to the trend growth rate of total factor productivity. The model matches the observed positive correlation between fiscal deficits and the trend growth rate, based on the government’s desire to smooth public consumption over periods of higher (or lower) long-run productivity growth. <p><p>Chapter 2: Government Debt Maturity and Debt Dynamics in EA Countries<p><p>This chapter presents a new comprehensive database on sovereign debt stocks and yields, at all maturities, for six EA countries: Belgium, Finland, France, Germany, Italy and Spain between 1991 and 2013. I constructed this database by combining information from different sources (treasuries, national central banks and statistical offices), on a security-by-security basis. A recent literature has shown the importance of debt maturity management in the US - e.g. Hall and Sargent (2011) - however, due to lack of data, this key issue remained unstudied for the EA. Thus, I use my database to study the effect of debt maturity management on the evolution of government debt in EA countries. <p>My main finding is that debt maturity also had an important effect in debt dynamics of the EA. The debt maturity structure affects debt dynamics because longer maturity shields the government budget from changes in interest rates. In general, interest rates in the EA have fallen since 1991 while treasuries in the region extended debt maturity. Thus, an increasing number of long-term bondholders experienced large capital gains. Counterfactual simulations show the impact of a different maturity structure on the evolution of debt and suggest that extending debt maturity in 2014 and 2015 would result in lower debt ratios by 2022. I also estimate the debt-to-GDP erosion induced by higher current and future inflation and find that inflation would lower the fiscal burden in EA countries much more than in the US.<p><p>Chapter 3: Quantifying the Role of Debt Management for Fiscal Self-Insurance in the EA<p><p>The last chapter provides evidence of debt management being an effective tool for protecting the government budget from fiscal spending shocks in the EA. In particular, I document that sovereign bonds of EA countries had a significantly lower real return in response to government spending shocks between 1991 and 2013. Importantly, longer bond maturity generally implied a larger drop in returns. This is in line with theories claiming that long-term debt provides fiscal self-insurance. However, my finding suggests that medium-term debt is more effective in hedging against spending shocks. <p>I identify government spending shocks in a Structural VAR model estimated with both aggregated quarterly fiscal data for the EA and stacked data from individual countries. I also use a simple FAVAR model to distinguish between common and idiosyncratic (country-specific) shocks and document that the former risk was hedged more effectively. The introduction of the Euro reduced the absorption of idiosyncratic shocks (relative to common shocks) by bond returns. However, the European debt crisis brought the degree of fiscal self-insurance against country-specific shocks back to pre-Euro levels. Finally, debt maturity seems to play a minor role in the absorption of country-specific shocks by the return on sovereign bonds. <p> / Doctorat en Sciences économiques et de gestion / info:eu-repo/semantics/nonPublished

L’objectif de cette thèse est d’étudier si la dette des gouvernements locaux doit faire l’objet d’inquiétudes, en se focalisant sur les cas français et canadiens (Québec et Ontario principalement). Le premier chapitre réalise une analyse descriptive des territoires à l’étude, et montre également que la dette municipale est nettement plus faible en Ontario qu’en France ou au Québec. Le deuxième chapitre analyse la santé financière des 30 plus grandes villes françaises et canadiennes. Il ressort notamment que les municipalités ayant un fort endettement ne sont pas nécessairement caractérisées par une situation financière précaire. Le troisième chapitre explore l’hypothèse d’une capitalisation négative de la dette publique municipale dans les valeurs foncières résidentielles moyennes de 130 municipalités au Québec et en Ontario. Les différents tests menés conduisent à des résultats instables, ne nous permettant pas de confirmer hors de tout doute notre hypothèse initiale. Un constat demeure cependant : le fardeau des ménages québécois qui doivent absorber des dettes publiques plus importantes est compensé par des valeurs de logement et un endettement privé plus faibles par rapport aux ménages de l’Ontario. Enfin, le quatrième chapitre étudie l’hypothèse d’un lien entre le degré d’intégration au sein du bloc communal (EPCI à fiscalité propre et communes membres) et la dette consolidée de ce dernier. Les tests réalisés font ressortir un impact négatif de l’intégration sur la dette du secteur communal et sur la dette des communes membres, indiquant qu’une plus grande intégration constituerait un levier efficace pour contribuer, avec les limitations légales, à une bonne maitrise de l’endettement du bloc / The aim of this thesis is to study if the debt of local governments is a threat to their fiscal health, by focusing on French and Canadian cases (mainly Québec and Ontario). The first chapter provides a descriptive analysis of the studied territories, and reveals that the local debt is significantly lower in Ontario, in comparison with France and Québec. The second chapter focuses on the fiscal health of the 30 largest French and Canadian cities. It shows that municipalities with a large debt are not always in a precarious financial situation. The third chapter investigates the hypothesis of a negative capitalization of municipal public debt in the average residential property values in 130 municipalities of Québec and Ontario. Our estimations give mixed results, and do not allow us to confirm our initial hypothesis beyond any doubt. Nevertheless, the household’s burden in Québec which have to finance larger municipal debts is offset by lower property prices and lower private indebtedness compared to Ontario’s households. Finally, the fourth chapter examines a French issue: the potential link between the integration level within intermunicipal community (EPCI and member municipalities) and the consolidated debt. Results show a negative effect of integration on the consolidated debt and on the debt of member municipalities, suggesting that a larger integration could be a complementary method to the legal restrictions of local indebtedness.

Though sovereign debts are often viewed as risk-free assets, some extreme events may lead to the repudiation of these debts. A large literature has been devoted to the motivations of repayment and to the causes of default. The impact of wars, which may lead to the repudiation of sovereign debt, on sovereign bond prices has also been analyzed. However, the impact of other types of seldom occurring but dramatic events, which may lead to the repudiation of debts, on bond prices has been overlooked. My current research aims to analyze three of them: the repudiation of debts because of their alleged "odiousness", the introduction of common debt after a state's unification and the debt partition following the break-up of a country. Since the events under consideration don't happen frequently, the dissertation will rely on four historical examples: Cuba, Russia, Italy and Belgium. The time period considered is the 19th century. Based on a historical analysis and the set-up of an original database, this project determines the effects of these events on sovereign debt valorization, using an econometric approach.<p><p>The first part of the research estimates the risk premium required by investors to hold debts which could be denounced as odious. Bondholders could require a premium to compensate for the higher default risk due to the odious character of the debts. The paper quantifies the risk premium required by investors to hold debts which could be denounced as odious and it analyses the relation between the value of the government bond and extreme "odious debt" events. In order to identify if such a premium exists, I focus on a Cuban case study. Based on an original database of Cuban bonds, the paper reveals the existence of a risk premium of at least 200 basis points which penalises bonds issued by dictatorial regimes. The bond market "odious" shocks are provided by a Structural VAR analysis. In a second case study, my research analyses the Tsarist bonds of 1906 and the premium to hold despotic regime debt. The paper shows that the market required a premium despite the attempts made by the Russian government to present the loan as clean.<p><p>The second and third parts of my research look at the effects of state succession on the sovereign bonds market. They analyze respectively the two subsets of state succession: state unification and "country break-up". The second part of the dissertation provides an empirical study of sovereign debt integration and analyses the evolution of sovereign bond prices when several countries merge to become a "unified country" or when the probability of such an event exists. Based on an original database made of pre-unification and post-unification Italian bonds, the paper shows the impact of Italy's unification on the bonds. The analysis puts forward that prior to the unification in 1862, the bonds issued by the future parts of the kingdom reacted in an idiosyncratic way. Around the sovereign debt integration, the paper highlights a large risk increase for low-yield bonds. Using a break point analysis and a Dynamic Factor Model, the paper proves that until the late 1860's the financial market did not believe in Italy's Unification. The third part of my research analyzes the financial impact on state bonds of a country which faces a risk to break up. This paper provides an empirical analysis of the evolution of sovereign debt prices when a state breaks up, or when it faces such an event. Based on an original database of Dutch and Belgian bonds, this research shows the impact of Belgian independence in 1830 on the Belgium bonds. This article analyses two risk premiums which may affect the sovereign debt of a state: the first one is linked to the country break-up (or the probability that one may occur) and the second one is due to the instability experienced by the new country. This analysis puts forward a "country break-up" risk premium of 142 basis points. The role of the debt underwriter has also been highlighted in the case of Belgian independence. Financial markets required no "new country" risk premium for Belgian bonds which were underwritten by Rothschild, but the risk premium remained for the Belgian authorities. This was likely due to the role of Rothschild as underwriter whose reputation persuaded the market that the risk is low, but who charged a premium to the Belgian government for their services.<p> / Doctorat en Sciences économiques et de gestion / info:eu-repo/semantics/nonPublished

Doctorat en sciences sociales, politiques et économiques / info:eu-repo/semantics/nonPublished

Cette thèse s'intéresse aux questions d'accès aux marchés financiers dans les économies émergentes et en développement. La première partie donne un aperçu général des conséquences macroéconomiques de l'un des régimes de politique monétaire le plus favorable au marché - le ciblage d'inflation - en utilisant le cadre d'analyse de la méta-analyse. La deuxième partie analyse le risque et la stabilité des marchés obligataires des États. La troisième et dernière partie examine les effets disciplinaires résultant de la participation aux marchés obligataires souverains. Plusieurs résultats émergent. Au chapitre 1, les résultats indiquent que la littérature sur les effets macroéconomiques du ciblage d'inflation est sujette à des biais de publication. Après avoir purgé ces biais, le véritable effet du ciblage d'inflation reste statistiquement et économiquement significatif à la fois sur le niveau de l'inflation et la volatilité de la croissance économique, mais ne l’est pas sur la volatilité de l'inflation ou le taux de croissance économique réel. Aussi, les caractéristiques des études déterminent l’hétérogénéité des résultats de l'impact du ciblage d’inflation dans les études primaires. Le chapitre 2 montre que l'adoption d'un régime de ciblage d'inflation réduit le risque souverain dans les pays émergents. Cependant, cet effet varie systématiquement en fonction du cycle économique, de la politique budgétaire suivie, du niveau de développement et de la durée dans le ciblage. Le chapitre 3 montre que les envois de fonds des migrants, contrairement aux flux d'aide au développement, permettent de réduire le risque souverain. Cette réduction est plus marquée dans un pays avec un système financier moins développé, un degré d'ouverture commerciale élevé, un espace budgétaire faible et sans effet dans les pays dépendants des envois de fonds. Le chapitre 4 montre que les pays ayant des contrats d’échange sur risque de crédit sur leurs dettes sont plus sujets à des crises de dette. Il constate également que cet effet reste sensible aux caractéristiques structurelles des pays. Le chapitre 5 montre que la participation aux marchés obligataires de long terme (domestiques et internationaux) encourage les gouvernements des pays en développement à accroître leurs recettes fiscales intérieures. Il révèle également que l'effet favorable dépend du niveau des recettes de seigneuriage, d’endettement, du régime de change, du niveau de développement économique, du degré d’ouverture financière, et du développement financier. Le chapitre 6 montre que la présence de marchés obligataires domestiques, de long terme et liquides réduit considérablement le degré de dollarisation financière dans les pays en développement. Cet effet est plus important dans les pays avec un régime monétaire de ciblage d’inflation ou de change flottant, et à règles budgétaires. Enfin, il constate que la présence de marchés obligataires domestiques réduit la dollarisation financière à travers la baisse du niveau et de la variabilité de l'inflation, de la variabilité du taux de change nominal, et des revenus de seigneuriage. / This thesis focuses on some critical issues of the access to international financial markets in developing and emerging market economies. The first part provides a general overview of the macroeconomic consequences of one of the most market-friendly monetary policy regime—inflation targeting—using a meta-regression analysis framework. The second part analyses government bond market risk and stability. The last part investigates the disciplining effects of government bond market participation—bond vigilantes. In Chapter 1, the results indicate that the literature of the macroeconomic effects of inflation targeting adoption is subject to publication bias. After purging the publication bias, the true effect of inflation targeting appears to be statistically and economically meaningful both on the level of inflation and the volatility of economic growth, but not statistically significant on inflation volatility or real GDP growth. Third, differences in the impact of inflation targeting found in primary studies can be explained by differences in studies characteristics including the sample characteristics, the empirical identification strategies, the choice of the control variables, inflation targeting implementation parameters, as well as the study period and some parameters related to the publication process. Chapter 2 shows that the adoption of inflation targeting regime reduces sovereign debt risk in emerging countries. However, this relative advantage of inflation targeting—compared to money or exchange rate targeting—varies systematically depending on the business cycle, the fiscal policy stance, the level of development, and the duration of countries’ experience with inflation targeting. Chapter 3 shows that remittances inflows significantly reduce bond spreads, whereas development aid does not. It also highlights that the effect of remittances on spreads arises in a regimes of lower developed financial system, higher degree of trade openness, lower fiscal space, and exclusively in non-remittances dependent regimes. Chapter 4 indicates that countries with credit default swaps contracts on their debts have a higher probability of experiencing a debt crisis, compared to countries without credit default swaps contracts. It also finds that the impact of credit default swaps initiation is sensitive to several structural characteristics including the level of economic development, the country creditworthiness at the timing of credit default swaps introduction, the public sector transparency, the central bank independence; and to the duration of countries’ experiences with credit default swaps transactions. Chapter 5 shows that bond markets participation encourages government in developing countries to increase their domestic tax revenue mobilization. Finally, it finds that bond markets participation improves the mobilization of internal taxes, compared to tax on international trade, and reduces their instability. Chapter 6 shows that the presence of domestic bond markets significantly reduces financial dollarization in domestic bond markets countries. This effect is larger for inflation targeting countries compared to non-inflation targeting countries, is apparent exclusively in a non-pegged exchange rate regime, and is larger when there is a fiscal rule that constrains the conduct of fiscal policy. Finally, it finds that the induced drop in inflation rate and its variability, nominal exchange rate variability, and seigniorage revenue are potential transmission mechanisms through which the presence of domestic bond markets reduces financial dollarization in domestic bond markets countries.

Doctorat en sciences sociales, politiques et économiques / info:eu-repo/semantics/nonPublished