Le régulateur des marchés financiers, en réponse à l'augmentation progressive de ses pouvoirs de sanction, s'est vu enfermé dans un carcan procédural si étroit qu'il risque à terme d'en paralyser le fonctionnement. Cette thèse vise à démontrer comment le couple formé par l'AMF et l'autorité judiciaire se complète pour animer le système français de régulation des marchés financiers. La première partie détaille l'évolution historique de la régulation française qui a vu ses régulateurs successifs étendre leurs champs de pouvoirs, de sanction notamment. Pour légitimer ses nouvelles attributions quasi juridictionnelles le régulateur a été contraint de se voir doté d'un socle procédural de droit commun, qu'il partage avec les juridictions qui sous certains aspects semblent avoir absorbé sa fonction régulatrice des marchés financiers, ramenant l'AMF à un rôle d'auxiliaire de justice. La seconde partie montre que le contrôle judiciaire des décisions de l'AM F tient néanmoins compte de la spécificité de sa mission, adoptant une vision globale des différents niveaux de régulation, au risque parfois de perdre en sécurité juridique pourtant attendue par les acteurs des marchés financier. En effet, le juge participant à l'œuvre générale de régulation aux cotés de l'AMF, se voit doté d'un pouvoir quasi régulationnel. Pour que l'AMF réintègre pleinement sa fonction régulatrice qui fait sa raison d'être nous plaiderons pour un renforcement de ses pouvoirs spécifiques. / The regulator of financial markets, in response to a gradual increase in its powers of sanction was locked in a narrow procedural system that could eventually paralyze the regulator. This thesis aims to demonstrate how the couple formed by the AMF and the judiciary is completed to animate the French system of regulation of financial markets. The first part describes the historical evolution of the French regulation which has seen successive regulators expand their fields of power, including sanctions .To legitimize his new quasi-judicial functions the regulator was forced to be with a procedural basis of common law , which it shares with the courts which in some ways seem to have absorbed its regulatory function of financial markets, reducing the AMF to a judicial officer state. The second part shows that the judicial review of decisions of the AMF take nevertheless into account the specificity of its mission, taking a holistic view of the different levels of regulation ,sometimes at the risk of losing in legal certainty yet expected by the actors in the financial markets. Indeed, the judge involved in the overall implementation of regulation with AMF, is seen with a quasi regulationnal power. For the AMF fully reinstated its regulatory function that motivated its creation we plead for a strengthening of its specific powers.

Cette thèse vise à mieux comprendre les décisions individuelles des acteurs des marchés de l'assurance et de la réassurance face à différents types d'information, la couverture des risques extrêmes, et les arrangements contractuels entre assureurs et réassureurs. Le contexte général de l'assurance des risques extrêmes est marqué par une intensification et un accroissement des catastrophes naturelles et industrielles depuis une vingtaine d'années dans le monde, ce qui rend délicat une évaluation correcte des caractéristiques des événements et questionne l'assurabilité de ces risques du fait de la présence d'incertitudes. La thèse est constituée de deux parties utilisant une large palette d'outils quantitatifs. La première partie se concentre sur l'analyse des effets de l'information sur les décisions d'assurance, en particulier sur les primes que les agents sont prêts à payer ou accepter pour transférer ou supporter des risques spécifiques. L'information disponible peut donner lieu à des situations de risque ou d'ambiguïté, en distinguant deux types d'ambiguïté: l'imprécision, situation dans laquelle l'information est consensuelle mais imprécise, et le conflit, situation où il y a désaccord entre experts. Cette partie s'appuie sur des enquêtes distribuées auprès d'un échantillon représentatif de la population en tant qu'acheteurs potentiels d'assurance (chapitre 2) ou auprès de professionnels de l'assurance (chapitre 3) afin d'étudier les comportements d'assurance du côté de l'offre et de la demande. Cette partie présente aussi une approche expérimentale de ces comportements avec rémunération des participants (chapitre 4). La seconde partie étudie le marché de la réassurance. Après avoir présenté les spécificités et mécanismes de ce marché (chapitre 5), l'offre de réassurance est analysée à travers des comportements d'enchères de réassureurs (chapitre 6). A partir d'une base de données exclusive, cette partie détermine les facteurs explicatifs des primes de réassurance qui dépendent des caractéristiques des risques, mais également de celles des traités, des réassureurs et du marché. / This thesis aims to better understand the individual decisions of insurance and reinsurance market actors facing different information types, the coverage of extreme risks, and the contractual arrangements between insurers and reinsurers. The insurance context of extreme risks is characterized by the intensification and the increased number of natural and industrial disasters for the last twenty years in the world, which makes it difficult to properly evaluate the event characteristics and questions the insurability of these risks due to the presence of uncertainties. The thesis is composed of two parts using a wide range of quantitative tools. The first part focuses on the analysis of information effects on insurance decisions, especially the premium that actors are willing to pay or to accept in order to transfer or to take specific risks. The available information can lead to situations of risk or ambiguity, distinguishing two ambiguity types: imprecision in which the information is consensual but imprecise, and conflict where there is a disagreement between experts. This part is based on surveys distributed to a representative sample of the population as potential insurance buyers (chapter 2) or to insurance professionals (chapter 3) in order to study demand and supply behaviors. This part also presents an experimental approach in which participants are paid according to their performance (chapter 4). The second part examines the reinsurance market. After presenting the characteristics and mechanisms of the market (chapter 5), reinsurance supply is examined through auction behaviors of reinsurers (chapter 6). 8ased on a proprietary data-base, this part identifies the underlying factors of reinsurance premiums which depend on the risk characteristics, but also on the treaties, the reinsurers and the market.

Notre thèse tend à répondre à la problématique spécifique aux constructeurs de voiries et de réseaux divers (VRD) consistant à déterminer les liens existant entre un contentieux de masse de nature extra-contractuelle opposant les entrepreneurs de VRD et les exploitants de réseaux du fait de dommages causés aux réseaux enterrés, et la responsabilité contractuelle des constructeurs de tous ouvrages, y compris de VRD, en situant cette problématique dans une étude plus générale de la responsabilité des constructeurs de VRD en droit public et en droit privé. Nous montrons que ces liens sont à rechercher dans le risque permanent de dommage causé aux réseaux existants par les travaux de VRD, risque permanent généré par la structure agrégée de l'ouvrage de VRD. La réponse à cette problématique passe par l'étude de la responsabilité extra-contractuelle spécifique aux constructeurs de VRD que constitue ce contentieux de masse, encadrée par un dispositif réglementaire de prévention des dommages aux réseaux, afin de fixer l'actualité de la responsabilité des constructeurs de VRD, sous l'empire du dispositif réglementaire en vigueur reproduit en annexe, et afin d'envisager les perspectives de la responsabilité des constructeurs de VRD, sous l'empire d'un nouveau dispositif législatif de prévention des dommages aux réseaux en cours d'adoption, également reproduit en annexe. Nous situons cette problématique spécifique de l'actualité et des perspectives de la responsabilité des constructeurs de VRD au sein d'une analyse plus globale de la responsabilité des constructeurs de VRD. Nous étudions dans une première partie les éléments nécessaires à l'étude de la responsabilité des constructeurs de VRD, soit les éléments permettant de déterminer son champ d'application matériel (les marchés ; les travaux ; les ouvrages) et personnel (les potentiels débiteurs et bénéficiaires de la responsabilité), et dont la conclusion principale est de relever la place centrale des VRD dans la consécration de la notion d'ouvrage en tant que critère fondamental de la responsabilité des constructeurs. Puis, dans une seconde partie, nous étudions la responsabilité extra-contractuelle et contractuelle découlant des marchés de travaux de VRD. Cette étude permet d'exposer les liens unissant ces deux ordres de responsabilité, en présence des dommages extra-contractuels causés à un réseau enterré existant par l'exécution de travaux de VRD, exacts pendants des dommages contractuels causés aux existants n'appartenant pas au maître d'ouvrage des travaux de VRD. La conclusion principale de cette seconde partie est alors de justifier les solutions spécifiques du juge administratif dans le contentieux contractuel, généralement dénoncées par la doctrine, comme des règles d'équilibrage du contentieux extra-contractuel. / Unavailable

L'objectif de ce travail est d'analyser théorique, expérimentale et empiriquement des rationalités des actions collectives au sein de microsystèmes économiques associatifs, particulièrement l'étude de las ferias ou les marchés libres au Chili et les marchés agro-écologiques dans l'Etat Fédéral du Paraná, Brésil. Notre point de départ a été l'analyse systémique, parce que ces phénomènes économiques et sociaux contiennent une grande complexité. D'abord parce qu'il s'agit d'un univers qui contient des expériences particulières et que passer de l'expérience locale vers le global ou théorique n'est pas évident. Et, ensuite, parce que ces expériences doivent être comprises à l'intérieur de l'ensemble systémique dans lequel elles s'insèrent, qui ne peut pas se réduire à un simple agrégat d'individus ou d'institutions. Par conséquent, au niveau de la recherche, cela implique un regard bifocal qui redessine l'univers total au fur et à mesure que l'on entre dans les particularités. Les travaux de terrain ont été réalisés dans la région de Paraná, Brésil, ainsi que dans celle de Valparaíso et dans la région métropolitaine du Chili, mais aussi on a un petit échantillon d'agriculteurs et organisations au Chili pour analyser des hypothèses du capital social, comportement coopératifs, et d'administration de recours communs. En considération que l'action collective implique le développement de un contexte coopérative, qu'involucre des processus de construction de “confiance” dans un monde où l'information n'est pas disponible et/ou elle est coûteuse, surtout quand il s'agit de collectifs qui travaillent dans des réseaux très vastes du point de vue territorial, comme c'est le cas des deux réseaux que nous présenterons dans cette recherche. Alors, la foi en l'autre et le pari sur son honnêteté deviennent importants. En effet, l'évidence signale que dans les marchés collectifs, toujours il y a une tension entre l'individualisme et la génération de confiance et coopération. A partir de cela, nous avons formulé cette hypothèse : la probabilité de survivre davantage dans le temps qui pour nous, est un indicateur de réussite, est en rapport avec les réseaux de voisinage et d'institutionnalité et avec les types de réseaux. Si ces réseaux apparaissaient dans une ambiance qui stimule la coopération, la probabilité de durer augmente. Pour faire cette analyse nous utilisons l'encadrement théorique de l'économie institutionnel, spécifiquement sur l'influence de Commons, Veblen et Ostrom, et à partir des méthodologies identifiées de « deuxième génération » , en analysant des comportements économiques avec les outils de la théorie des jeux et en incorporant un nouvel outil qui est l'analyse des réseaux sociaux, comme proposition pour modeler une rationalité collective dans un contexte institutionnel. Puis, nous reviendrons aux territoires, en reprenant les outils méthodologiques qualitatifs identifiés comme dépêche de la « première génération », en cherchant à approfondir les concepts de coopération, de confiance et les mécanismes d'auto-organisation, à partir de la signification depuis l'expérience des collectivités. Pour réaliser finalement une proposition méthodologique qui permet de faire dialoguer tant les dynamiques institutionnelles depuis sa profondeur, comme aussi la scène expérimentale, en incorporant l'analyse des réseaux sociaux pour la construction des modèles analytiques. En cherchant des méthodes d'analyses pour les différentes rationalités des actions collectives au sein de microsystèmes économiques associatifs. Une réflexion sur les méthodes d'analyses de terrain et d'interactions entre travail de terrain et résultats obtenus pour la réflexion dans la science économique. / The aim of this study is to analyze the theoretical, experimental and empirical rationalities underlying collective actions within associative economic microsystems. In particular, in the study of fairs and free markets in Chile and of agro-ecological markets in the Federal State of Paraná, Brazil. Due to the high complexity as it rises from these economic and social phenomena, our starting point has been the systemic analysis. It is about a universe with particular experiences, in which inferences from local level -the experiences- to global level -the theory- are not obvious. Furthermore, these experiences must be understood from the systemic set, which in its turn, cannot be reduced to the mere aggregation of individuals and institutions. Thus, at a research level, it implies the use of a bifocal gaze, with which the whole universe is reconfigured as someone enters into the details of its particularities. The field works were conducted in Valparaíso and Metropolitan Regions of Chile and in regions of Paraná Federal State of Brazil. In addition, a small sample of farmers and organizations in Chile was also considered to test hypothesis on social capital, cooperative behavior and shared resources management. The evidence suggests that sustainable collective actions require of a cooperative context which, at the time, involves processes to build up “confidence relations”. On another hand, information in that world is unavailable, scarce and/or costly. In addition, collective communities -as is the case analyzed in this Thesis- may be working over extended territorial networks. In these cases, the declaration, construction and commitment to the honesty of the other and to the whole become very relevant. Thus the evidence shows that in collective markets, there is always a tension between individualism and necessarily generation of trust and cooperation. Therefore the following hypothesis is stated: the probability of surviving during the time -which can be considered an indicator of success-, was related to neighborhood and the kind of institutional networks. If these networks are in an environment that fosters cooperation, the probability of survival is increased. Institutional economics are used as a theoretical framework for the analysis. More specifically, those influenced by Commons, Veblen and Ostrom. In addition, methodologies identified as those of "second generation" are also used. These methodologies allow the analysis of economic behavior using the tools of game theory. Finally, we propose to incorporate social network analysis as a way to model collective rationality in an institutional context. Then we shall turn over to the territories where “first generation” methodological tools are applied to look further on the concept of cooperation, trust and self-organizing mechanisms from the significance of the acquired collective experiences. Finally, efforts are made to elaborate a methodological proposal that allows enforcing dialogs about institutional dynamics from its depth, as well as about the experimental stage, and to incorporate social network analysis, in order to build up analytical models. In the search of analytical methods for the different rationalities of collective action within associative economic microsystems a reflection is required on the methods of field analysis and on the interactions between fieldworks and results obtained for theoretical reflection in economics.

Cette thèse comprend trois essais dont l’objectif est d’étudier les déterminants et les implications de la qualité de l’information narrative des entreprises cotées. L’originalité de ce travail par rapport aux études antérieures réside dans le fait que nous nous intéressons à la dimension qualitative de l’information divulguée. Afin d’appréhender la qualité de cette information nous recourons à des techniques de traitement automatique de langage naturel qui permettent de construire des indices de lisibilité des rapports annuels.Le premier essai étudie l'effet de la complexité textuelle des rapports annuels sur la liquidité des titres. L’utilisation d’un échantillon d’entreprises françaises cotées en bourse sur la période 2002-2013 montre l’existence d’une relation positive entre le degré de lisibilité des rapports annuels et la liquidité des titres. Ces résultats suggèrent que la complexité textuelle de l’information narrative affecte les investisseurs sur le marché des actions.Le deuxième essai étudie l’effet de la lisibilité des rapports annuels sur le coût des fonds propres des entreprises. Nous menons notre étude empirique sur un échantillon d’entreprises américaines cotées en bourse sur la période 1995-2012. Les résultats montrent que les entreprises font face à un coût de financement plus élevé lorsque leurs rapports annuels sont moins lisibles, ce qui indique qu’un degré faible de lisibilité réduit la capacité des investisseurs à prévoir les performances futures de l’entreprise et leur amène par conséquence à demander un rendement de fonds propres plus élevé.Le troisième essai examine l’effet des pratiques de réduction d’impôt des entreprises sur la lisibilité de leurs divulgations financières. La littérature mobilisant la théorie d’agence montre que ces pratiques de réduction d’impôt créent un cadre permettant aux dirigeants d’extraire des bénéfices privés aux dépens des autres parties prenantes. Afin de s’assurer que leurs actions opportunistes ne soient détectées, les dirigeants réduisent la qualité de l’information divulguée, ce qui détériore l’environnent informationnel de l’entreprise en question. En utilisant un échantillon d’entreprises américaines cotées en bourse pour la période 1995-2012, nous constatons que les entreprises qui s’engagent dans des politiques de diminution d’impôt publient des rapports annuels moins lisibles et plus ambigus.Mot Clés: Information narrative; lisibilité des rapports annuels; Risque d’information ; Liquidité; Coût des fonds propres; Optimisation fiscale / This thesis comprises three separate but interconnected essays that focus on the determinants and economic implications of corporate narrative disclosure. The first essay examines the effect of annual report textual complexity on firms’ stock liquidity. Using techniques from computational linguistics, we predict and find that less readable filings are associated with lower stock liquidity. Our study provides evidence that difficult-to-read annual reports can act as a non-trivial impediment to investors’ ability to process information into useful trading signals. The findings are robust to a battery of sensitivity tests, including endogeneity, use of alternative regression techniques, and use of alternative liquidity and readability proxies.Using a large panel of U.S. public firms, the second essay presents the first evidence highlighting the relation between annual report readability and cost of equity capital. We hypothesize that complex textual reporting deters investors’ ability to process and interpret annual reports, leading to higher information risk, and thus higher cost of equity financing. Consistent with our prediction, we find that greater textual complexity is associated with higher cost of equity capital. Our results are statistically significant and economically important. We also show that disclosure tone exerts a non-trivial bearing on the cost of equity. Our findings are robust to a battery of sensitivity checks, including use of multiple estimation methods, alternative proxies of annual report readability and cost of equity capital measures, and potential endogeneity concerns. Overall, our study contributes to the research examining the relation between disclosure quality and cost of capital.The third essay investigates the effect of firms’ tax avoidance practices on the textual properties of their annual filings. Using a large sample of U.S.-listed firms, we document a positive and statistically significant relation between corporate tax avoidance and annual report textual complexity. In addition, we show that managers of tax-avoiding firms tend to hide their avoidance behavior in more ambiguous language. Our results prove to be robust to the use of numerous alternative proxies of corporate tax avoidance and annual report readability. The findings are also robust to a number of checks, including, using additional control variables, employing alternative regression methodologies, and addressing endogeneity concerns.Keywords: Narrative disclosure; Annual report readability; Disclosure tone; Information risk Stock liquidity; Cost of equity capital; Corporate tax avoidance

Cette thèse comporte quatre chapitres qui examinent plusieurs aspects de la politique économique- dans son rapport à la mondialisation et à l'intégration économique. Le premier chapitre considère la question du lien entre spécialisation commerciale et croissance. Les résultats identifient un lien empirique robuste entre niveau initial de sophistication et croissance du PIB réel par tête dans le cas de la Chine. Le second chapitre étudie le lien entre la structure du système bancaire chinois et la structure des exportations L'étude empirique révèle la présence de contraintes de crédit pesant sur les firmes privées domestiques) qui exportent relativement moins dans les secteurs les plus dépendants de financements extérieurs. Le troisième chapitre étudie l'impact de l'immigration sur les marchés du travail dans un cadre de marchés régionaux fragmentés. Il montre que dans ce cadre, la mobilité spatiale des travailleurs immigrés contribue à augmenter l'efficacité des marchés du travail, mais que la politique d'immigration devient plus restrictive, sous certaines conditions. Le quatrième chapitre étudie les déterminants des accords préférentiels de libre-échange entre pays. Il montre que les gains en termes d'accès au marché sont un déterminant plus fort de la probabilité de signer un accord que ceux des consommateurs. / This thesis consists of four chapters that examine various aspects of economic policy in its relation to globalization and economic integration. The first chapter considers the question of the link between trade specialization and growth. The results identify a robust empirical ink between initial level of sophistication at province level and real GOP per capita growth in the case of China. The second chapter examines the relationship between the structure of the Chinese banking system and the structure of exports. The empirical study reveals the presence of credit constraints weighing on domestic private firms, which export relatively less in sectors more dependent on external financing. The third chapter examines the impact of immigration on labor markets in a setting with fragmented regional markets. It shows that in this framework, the spatial mobility of migrant workers contributes to increase the efficiency of labor markets, but immigration policy becomes more restrictive under certain conditions. The fourth chapter examines the determinants of preferential free trade agreements. It shows that the gains in market access are a stronger determinant of a country's probability of signing an agreement than the gains accruing to consumers in the form of lower prices

Cette thèse est divisée en deux sections. La première section adresse la question sur les conséquences des interventions des politiques budgétaires sur l'économie et la deuxième section traite de la problématique de la liquidité des titres européens de la dette souveraine pendant la récente crise financière, l'effet d'un choc de liquidité sur ces titres et les conséquences des réponses politiques. Le premier chapitre étudie l'impact d'un choc de politique budgétaire discrétionnaire sur l'activité économique et d'autres variables macroéconomiques en utilisant une approche alternative à deux étapes pour l'identification d'un choc budgétaire. Le deuxième chapitre analyse conjointement les effets d'une combinaison de chocs de politique fiscale et monétaire sur les variables macroéconomiques et financières, en utilisant un modèle de Time- V arying Parameters Factor Augmented Vector (TVP-F A V AR). Le troisième chapitre étudie le rôle des titres de la dette souveraine comme collatéral dans le marché interbancaire . En particulier, dans le marché dès pensions livrées, on montre comment une augmentation des marges initiales des pensions livrées, peut représenter un canal dans la transmission des crises bancaires aux crises de la dette souveraine dans les pays de la périphérie de la zone euro. Une augmentation des marges initiales des pensions livrées, qui ont comme collatéraux les titres de la dette souveraine peut être modélisée comme un choc de liquidité sur les titres de la dette souveraine. Le quatrième chapitre analyse l'impact de ce choc dans un modèle stochastique dynamique d'équilibre général (DSGE) avec frictions financières et analyse les conséquences des mesures économiques non-conventionnelles pour restaurer la liquidité dans les marchés financiers. / This dissertation is divided in two sections. The first section addresses the question of the consequences of fiscal policy interventions on the economy and the second section analyzes the issue of the liquidity of European Government bonds during the recent financial crisis, the effect ofliquidity shock on these securities and consequences ofpolicy responses. The frrst chapter studies the impact of a discretionary government spending shock on economic activity and other macroeconomic variables by using an alternative two-step procedure for the identification of the govemment spending shock. The second chapter analyzes the effects of a combination of fiscal and monetary policy shocks on macroeconomic and financial variables using a Time Varying Parameters Factor Augmented VAR (TVP-FA VAR) mode!. The third chapter investigates the European market of repurchase agreements and shows that government bonds represent a key fraction of the collateral in these transactions. lt also examines the effects of a rise in haircuts on the value of govemment bonds and shows that this mechanism may represent a channel in the transmission mechanism of banking and sovereign-debt crises in the periphery of the Eurozone. Following the empirical findings of the third chapter, the last chapter proposes a DSGE model with financial frictions to assess the impact of a negative liquidity shock and the consequences ofunconventional policy.

Le but de cette thèse est d’approfondir les connaissances académiques sur les variations jointes des actifs financiers à haute fréquence en les analysant sous un point de vue novateur. Nous tirons profit d’une base de données de prix tick-by-tick pour mettre en lumière de nouveaux faits stylises sur la corrélation haute fréquence, et également pour tester la validité empirique de modèles multivariés. Dans le chapitre 1, nous discutons des raisons pour lesquelles la corrélation haute fréquence est d’une importance capitale pour le trading. Par ailleurs, nous passons en revue la littérature empirique et théorique sur la corrélation à de petites échelles de temps. Puis nous décrivons les principales caractéristiques du jeu de données que nous utilisons. Enfin, nous énonçons les résultats obtenus dans cette thèse. Dans le chapitre 2, nous proposons une extension du modèle de subordination au cas multivarié. Elle repose sur la définition d’un temps événementiel global qui agrège l’activité financière de tous les actifs considérés. Nous testons la capacité de notre modèle à capturer les propriétés notables de la distribution multivariée empirique des rendements et observons de convaincantes similarités. Dans le chapitre 3, nous étudions les relations lead/lag à haute fréquence en utilisant un estimateur de fonction de corrélation adapte aux données tick-by-tick. Nous illustrons sa supériorité par rapport à l’estimateur standard de corrélation pour détecter le phénomène de lead/lag. Nous établissons un parallèle entre le lead/lag et des mesures classiques de liquidité et révélons un arbitrage pour déterminer les paires optimales pour le trading de lead/lag. Enfin, nous évaluons la performance d’un indicateur basé sur le lead/lag pour prévoir l’évolution des prix à court terme. Dans le chapitre 4, nous nous intéressons au profil saisonnier de la corrélation intra-journalière. Nous estimons ce profil sur quatre univers d’actions et observons des ressemblances frappantes. Nous tentons d’incorporer ce fait stylise dans un modèle de prix tick-by-tick base sur des processus de Hawkes. Le modèle ainsi construit capture le profil de corrélation empirique assez finement, malgré sa difficulté à atteindre le niveau de corrélation absolu. / This thesis aims at providing insight into comovements of financial assets at high frequency from an original point of view. We take advantage of a database of tick-by-tick prices to bring to light new stylized facts on high frequency correlation as well as to check the empirical validity of multivariate modelling frameworks. In chapter 1, we elaborate on the reasons why high frequency correlation is of the utmost importance for trading purposes. We also briefly review the empirical and theoretical literature on correlation at small time scales. Then, we describe the main features of the data set we use. Finally, we enunciate the results obtained in this thesis. In chapter 2, we suggest a way of extending the subordination modelling to the multivariate case. This relies on the definition of a global event time that merges the trading activity of all assets under consideration. We test the ability of our model to capture salient features of the empirical multivariate probability distribution of returns and find a convincing agreement. In chapter 3, we study high frequency lead/lag relationships using a suitable cross-correlation estimator for tick-by-tick data. We show its superiority over the classical correlation estimator in detecting lead/lag patterns. We relate lead/lag to standard liquidity measures and exhibit a trade-off to find optimal pairs for lead/lag trading. Finally, we evaluate the performance of a lead/lag indicator in forecasting the short-term evolution of prices. In chapter 4, we focus on the intraday correlation seasonal pattern. We estimate this pattern over four universes of stocks and observe striking similarities. We attempt to incorporate this stylized fact into a tick-by-tick price model based upon Hawkes processes. The resulting model captures the empirical profile of correlation quite well, though it doesn’t match the absolute level of correlation.

The recent financial crisis has brought to the fore the need to better understand systemic risk, that is, the risk of collapse of a large part of the financial system and its potential effects on the real economy. In this thesis, we argue that a proper assessment of systemic risk must include an analysis of the network of interdependencies that exists between the different financial institutions. In fact, today's level of financial interconnectedness between and among markets has proven to have ambiguous effects. On the one hand, a highly connected system allows to diversify risk at the micro level. On the other hand, too much interdependencies provide various paths for contagion to take place and propagate at the macro level. In what follows, we analyze financial markets as networks of interactions and dependencies between financial agents. Through this lens, we investigate three major aspects: (i) how the structure of financial networks can amplify or mitigate the propagation of financial distress, (ii) what are the implications for macro-prudential regulation and (iii) which patterns of interactions characterize real financial networks.We start out by delivering a stability analysis of a network model of interbank contagion that accounts for panics and bank runs. We identify the effects of market architecture, banks' capital ratios, market liquidity and shocks. Our results show that no single network architecture is always superior to others. In particular, highly concentrated networks can both be the most robust and the most fragile depending on other market characteristics, mainly, liquidity.We then move on to tackle issues related to the building of regulatory frameworks that adequately account for the effects of financial interdependencies. We propose a new methodology to compute individual and systemic probabilities of default and show that certain network characteristics give rise to uncertainty. More precisely, we find that network cycles are responsible for the emergence of multiple equilibria even in the presence of complete knowledge. In turn, multiple equilibria give rise to uncertainty for the regulator in the determination of default probabilities. We also quantify the effects of network structures, leverage, volatility and correlations.Having introduced a way to overcome multiplicity, we deliver a method that quantifies the price of complexity in financial markets based on the above mentioned model. This method consists of determining the scope of possible levels of systemic risk that can be obtained when some parameters are subject to small deviations from their true value. The results show a price to the interconnected nature of credit markets even when the equilibrium is unique: small errors can lead to large mistakes in measuring the likelihood of systemic default. Extending the model to account for derivative contracts, we show that error effects increase dramatically as more types of contracts are present in the system. While there is an intuition for such phenomenon, our framework formalizes the idea and quantifies its determinants.In the last part of this thesis, we contribute to the quantitative analysis of real financial networks. We start with a temporal network analysis of one of the major national interbank markets, that is, the German interbank market. We report on the structural evolution of two of the most important over-the-counter markets for liquidity: the interbank market for credit and for derivatives. We find that the majority of interactions is concentrated onto a set of few market participants. There also exists an important correlation between the borrowing and lending activities for each bank in terms of numbers of counterparties. In contrast with other works, we find little impact of the 2008 crisis on the structure of the credit market. The derivative market however exhibits a peak of concentration in the run up to the crisis. Globally, both markets exhibit large levels of stability for most of the network metrics and high correlation amongst them.Finally, we analyze how banks interact with the real economy by investigating the network of loans from banks to industries in Japan. We find evidence of a particular structure of interactions resulting from the coexistence of specific strategies both on the lending side and the borrowing side: generalist agents and specialist agents. Generalist banks have a diversified portfolio (i.e. they provide liquidity to almost all industries) while specialist banks focus their activity on a narrow set of industries. Similarly, generalists industries obtain credit from all banks while specialist industries have a restricted number of creditors. Moreover, the arrangement of interactions is such that specialists tend to only interact with generalists from the other side. Our model allows to structurally characterize highly persistent, and economically meaningful, sets of generalists and specialists. We further provide an analysis of the factors that predict whether a given bank or industry is a generalist. We show that size is an important determinant, both for banks and industries, but we also highlight additional relevant factors. Finally, we find that generalist banks tend to be less vulnerable. Hence, how banks position themselves in the network has important implications for their risk profile. Overall the results presented in this thesis highlight the complex role played by financial interlinkages. Therefore, they demonstrate the need to embed the network dimension in the regulatory framework to properly assess the stability profile of financial systems. Such findings are relevant for both theoretical modeling and empirical investigations. We believe that they also shed light on crucial aspects of systemic risk relevant for policy making and regulation of today's complex financial systems. / Doctorat en Sciences de l'ingénieur et technologie / info:eu-repo/semantics/nonPublished

The goal of this thesis is to study the two key aspects of complexity of the financial system: interconnectedness and nonlinear relationships. In Chapter 1, I contribute to the literature that focuses on modelling the nonlinear relationship between variables at the extremes of their distribution. In particular, I study the nonlinear relationship between stock prices and short selling. Whereas most of the academic literature has focused on measuring the relationship between short selling and asset returns on average, in Chapter 1, I focus on studying the relationship that arises in the extremes of the two variables. I show that the association between financial stock prices and short selling can become extremely strong under exceptional circumstances, while at the same time being weak in normal times. The tail relationship is stronger for small cap firms, a result that is intuitively in line with the empirical findings that stocks with lower liquidity are more price-sensitive to short selling. Finally, results show that the adverse tail correlation between increases in short selling and declines in stock prices was not always lower during the ban periods, but had declined markedly towards the end of the analysis window. Such results cast doubts about the effectiveness of bans as a way to prevent self-reinforcing downward price spirals during the crisis. In Chapter 2, I propose a measure of interconnectedness that takes into account the time-varying nature of connections between financial institutions. Here, the parameters underlying comovement are allowed to evolve continually over time through permanent shifts at every period. The result is an extremely flexible measure of interconnectedness, which uncovers new dynamics of the US financial system and can be used to monitor financial stability for regulatory purposes. Various studies have combined statistical measures of association (e.g. correlation, Granger causality, tail dependence) with network techniques, in order to infer financial interconnectedness (Billio et al. 2012; Barigozzi and Brownlees, 2016; Hautsch et al. 2015). However, these standard statistical measures presuppose that the inferred relationships are time-invariant over the sample used for the estimation. To retrieve a dynamic measure of interconnectedness, the usual approach has been to divide the original sample period into multiple subsamples and calculate these statistical measures over rolling windows of data. I argue that this is potentially unsuitable if the system studied is time-varying. By relying on short subsamples, rolling windows lower the power of inference and induce dimensionality problems. Moreover, the rolling window approach is known to be susceptible to outliers because, in small subsamples, these have a larger impact on estimates (Zivot and Wang, 2006). On the other hand, choosing longer windows will lead to estimates that are less reactive to change, biasing results towards time-invariant connections. Thus, the rolling window approach requires the researcher to choose the window size, which involves a trade-off between precision and flexibility (Clark and McCracken, 2009). The choice of window size is critical and can lead to different results regarding interconnectedness. The major novelty of the framework is that I recover a network of financial spillovers that is entirely dynamic. To do so, I make the modelling assumption that the connection between any two institutions evolves smoothly through time. I consider this assumption reasonable for three main reasons. First, since connections are the result of many financial contracts, it seems natural that they evolve smoothly rather than abruptly. Second, the assumption implies that the best forecast of a connection in the future is the state of that connection today. This is consistent with the notion of forward-looking prices. Third, the assumption allows for high flexibility and for the data to speak for itself. The empirical results show that financial interconnectedness peaked around two main events: the Long-Term Capital Management crisis of 1998 and the great financial crisis of 2008. During these two events, I found that large banks and broker/dealers were among the most interconnected sectors and that real estate companies were the most vulnerable to financial spillovers. At the individual financial institution level, I found that Bear Stearns was the most vulnerable financial institution, however, it was not a major propagator, and this might explain why its default did not trigger a systemic crisis. Finally, I ranked financial institutions according to their interconnectedness and I found that rankings based on the time-varying approach were more stable than rankings based on other market-based measures (e.g. marginal expected short fall by Acharya et al. (2012) and Brownlees and Engle (2016)). This aspect is significant for policy makers because highly unstable rankings are unlikely to be useful to motivate policy action (Danielsson et al. 2015; Dungey et al. 2013). In Chapter 3, rather than assuming interconnectedness as an exogenous process that has to be inferred, as is done in Chapter 2, I model interconnectedness as an endogenous function of market dynamics. Here, I take interconnectedness as the realized correlation of asset returns. I seek to understand how short selling can induce higher interconnectedness by increasing the negative price pressure on pairs of stocks. It is well known that realized correlation varies continually through time and becomes higher during market events, such as the liquidation of large funds. Most studies model correlation as an exogenous stochastic process, as is done, for example, in Chapter 2. However, recent studies have proposed to interpret correlation as an endogenous function of the supply and demand of assets (Brunnermeier and Pedersen, 2005; Brunnermeier and Oehmke, 2014; Cont and Wagalath, 2013; Yang and Satchell, 2007). Following these studies, I analyse the relationship between short selling and correlation between assets. First, thanks to new data on public short selling disclosures for the United Kingdom, I connect stocks based on the number of common short sellers actively shorting them. I then analyse the relationship between common short selling and excess correlation of those stocks. To this end, I measure excess correlation as the monthly realized correlation of four-factor Fama and French (1993) and Carhart (1997) daily returns. I show that common short selling can predict one-month ahead excess correlation, controlling for similarities in size, book-to-market, momentum, and several other common characteristics. I verify the confirm the predictive ability of common short selling out-of-sample, which could prove useful for risk and portfolio managers attempting to forecast the future correlation of assets. Moreover, I showed that this predictive ability can be used to establish a trading strategy that yields positive cumulative returns over 12 months. In the second part of the chapter I concentrate on possible mechanisms that could give rise to this effect. I focus on three, non-exclusive, mechanisms. First, short selling can induce higher correlation in asset prices through the price-impact mechanism (Brunnermeier and Oehmke, 2014; Cont and Wagalath, 2013). According to this mechanism, short sellers can contribute to price declines by creating sell-order imbalances i.e. by increasing excess supply of an asset. Thus, short selling across several stocks should increase the realized correlation of those stocks. Second, common short selling can be associated with higher correlation if short sellers are acting as voluntary liquidity providers. According to this mechanisms, short sellers might act as liquidity providers in times of high buy-order imbalances (Diether et al. 2009b). In this cases, the low returns observed after short sales might be compensations to short sellers for providing liquidity. In a multi-asset setting, this mechanism would result in short selling being associated with higher correlation mechanism. Both above-mentioned mechanisms deliver a testable hypothesis that I verify. In particular, both mechanisms posit that the association between short selling and correlation should be stronger for stocks which are low on liquidity. For the first mechanism, the price impact effect should be stronger for illiquid stocks and stocks with low market depth. For the liquidity provision mechanism, the compensation for providing liquidity should be higher for illiquid stocks. The empirical results cannot confirm that uncovered association between short selling and correlation is stronger for illiquid stocks, thus not supporting the price-impact and liquidity provision hypothesis. I thus examine a third possible mechanism that could explain the uncovered association between short selling and correlation i.e. the informative trading mechanism. Short sellers have been found to be sophisticated market agents which can predict future returns (Dechow et al. 2001). If this is indeed the case, then short selling should be associated with higher future correlation. I found that informed common short selling i.e. common short selling that is linked to informative trading, was strongly associated to future excess correlation. This evidence supports the informative trading mechanism as an explanation for the association between short selling and correlation. In order to further verify this mechanism, I checked if informed short selling takes place in the data, whilst controlling for several of the determinants of short selling, including short selling costs. The results show evidence of both informed and momentum-based non-informed short selling taking place. Overall, the results have several policy implications for regulators. The results suggest that the relationship between short selling and future excess correlation is driven by informative short selling, thus confirming the sophistication of short sellers and their proven importance for market efficiency and price informativeness (Boehmer and Wu, 2013). On the other hand, I could not dismiss that also non-informative momentum-based short selling is taking place in the sample. The good news is that I did not find evidence of a potentially detrimental price-impact effect of common short selling for illiquid stock, which is the sort of predatory effect that regulators often fear. / Doctorat en Sciences économiques et de gestion / info:eu-repo/semantics/nonPublished