Questo lavoro è diviso in tre capitoli. Il primo capitolo fornisce una rassegna della letteratura economica riguardo gli effetti della liberalizzazione finanziaria sulla volatilità macroeconomica e descrive il ruolo delle politiche macroprudenziali nel favorire stabilità economica. Il secondo capitolo presenta un modello dinamico e stocastico di equilibrio economico generale neo-keynesiano, con rigidità reali e nominali e LAMP, per studiare l'impatto della liberalizzazione finanziaria sulla volatilità macroeconomica. La liberalizzazione finanziaria è modellata lungo due direzioni: il margine estensivo (un aumento del numero di consumatori che accedono ai mercati finanziari) e il margine intensivo (un allentamento dei criteri patrimoniali richiesti alle famiglie per l'ottenimento di credito). In contrasto con la teoria convenzionale, i risultati suggeriscono che una maggiore liberalizzazione finanziaria comporta un aumento della volatilità macroeconomica in presenza di famiglie altamente indebitate. Il terzo capitolo presenta un'estensione del modello di Kyotaki e Moore (Credit Cycles (1997)) in grado di tenere in considerazione del ruolo dello "spread" tra il tasso interesse attivo e passivo nel meccanismo di trasmissione di shocks esogeni. Si studia in che modo il meccanismo di amplificazione garantito dalla presenza di mutuatari soggetti a vincoli di garanzia è modificato quando anche il prestatore è soggetto ad un vincolo di valore massimo sul credito erogabile (capital adequacy requirement). I risultati suggeriscono che un allentamento del "capital adequacy requirement" aumenta ulteriormente il meccanismo di trasmissione originale in risposta a shocks esogeni alla produttività. / This work is divided in three chapters. The first chapter provides an overview of the economic literature dealing with the effects of financial liberalization on macroeconomic volatility, and describes how macroprudential policy can be used to induce economic stabilization. The second chapter presents a New Keynesian DSGE model with real and nominal frictions and LAMP to study the implications of financial liberalization on aggregate volatility. Financial liberalization is modeled along the extensive margin (number of consumption smoothers) and the intensive margin (loan-to-value ratio). In contrast to the conventional view, our findings suggest that financial liberalization leading to highly leveraged households increases macroeconomic volatility. The third chapter presents an extension of the Kiyotaki and Moore model of Credit Cycles (1997): the original framework is augmented to account for the role of financial intermediation and interest rate spreads in the transmission of exogenous shocks. We study how the amplification mechanism guaranteed by the presence of collateralized borrowers is altered in the presence of the additional constraint faced by lenders. We find that if the lender's collateral constraint binds, loosening the capital adequacy requirement burdening on lenders increases the original amplification mechanism in response to exogenous productivity shocks through the interest rate spread.

Dans cette thèse, je fournis une évaluation empirique des relations entre les principales variables macroéconomiques qui animent le cycle économique. Nous traitons dans chacun des trois chapitres une question empirique en utilisant une approche économétrique bayésienne. Dans le premier chapitre nous étudions la contribution conditionnelle des taux de transition du marché du travail (le taux de retour en emploi et le taux de séparation). La littérature n'est pas parvenue à un consensus sur lequel des taux dominent la dynamique du marché du travail. Alors que Blanchard et Diamond (1990) ont conclu que la baisse de l'emploi en période de récession résulte d'un taux de séparation plus élevé, Shimer (2012), ainsi que Hall (2005), expliquent que les variations du chômage sont principalement expliqués par la variation du taux de retour en emploi. Notre résultat, obtenu grâce à une estimation d'un modèle VAR structurel, montre que l'importance de chaque taux de transition dépend des chocs qui ont frappé le marché du travail et de l'importance des institutions du marché du travail. Dans le second chapitre, nous évaluons l'impact de la réforme du marché du travail réalisée par le Président des États-Unis H. Hoover au début de la Grande Dépression. Nous montrons que ces politiques ont permis à l'économie américaine d'échapper à une grande spirale déflationniste. L'estimation d'un modèle DSGE à l'échelle agrégée, nous permet de comparer deux effets opposés que ces politiques impliquent : effet négatif dû à une baisse de l'emploi et l'effet positif dû aux anticipations inflationnistes qui sont expansionnistes quand l'économie est dans la trappe à liquidité. Les résultats dépendent de la règle de politique monétaire que nous supposons : le principe de Taylor ou le ciblage du niveau de prix. Le troisième chapitre est consacré à la relation entre le taux d'intérêt réel et l'activité économique qui dépend du nombre des participants aux marchés financiers. En utilisant un modèle DSGE et en permettant à la proportion de ces agents d'être stochastiques en suivant une chaîne de Markov, nous identifions les périodes historiques où la proportion était assez faible pour inverser la courbe IS. Pour le cas des États-Unis, nous montrons que cette relation est positive pendant la période de la Grande Inflation et pendant une courte période au début de la Grande Récession. Dans l'union européenne, la proportion de non­-participants a été augmentée pendant les années 2009-2015 mais seulement pour amplifier la corrélation négative entre le taux d'intérêt réel et la croissance de la production. / In this thesis I provide an empirical assessment of the relations between the main macroeconomic variables that drive the Business Cycle. We treat the empirical question that arises in each chapter using Bayesian estimation. In the first chapter we investigate conditional contribution of the labor market transition rates (the job finding rate and the separation rate) to unemployment. The literature did not have a consensus on which rate dominates in explaining the labor market dynamics. While Blanchard and Diamond (1990) concluded that the fall in employment during slumps resulted from a higher separation rate, Shimer (2012), as well as Hall (2005), explain unemployment variations by mainly the job finding rate. Our result, obtained through an estimation of a structural VAR model, shows that the importance of the transition rated depends on the shocks that hit an economy and hence the importance of the labor market institutions. In the second chapter, we assess the impact of the labor market reform of the US president H. Hoover implemented at the beginning of the Great Depression. We show that these policies prevented the US economy to enter a big deflationary spiral. Estimating a medium scale DSGE model, we also compare two opposite effects these policies lead to: negative effect through a fall in employment and positive effect though inflationary expectations which are expansionary when monetary policy is irresponsive to the rise in prices. The results depend on the monetary policy rule we assume: The Taylor principle or price level targeting. The third chapter is devoted to the relation between the real interest rate and the economic activity which depends on the number of asset market participants. Using a DSGE model and allowing to the proportion of these agents to be stochastic and to follow a Markov chain, we identify the historical sub-periods where this proportion was low enough to reverse the IS curve. For the US case, we report the studied relation to be positive during the Great Inflation period and for a short period at the edge of the Great Recession. In the EA, the proportion of non-participants has been increased during 2009-2015, but only to amplify the negative correlation between the real interest rate and output growth.