Moins d’un siècle après la crise de 1929, la crise des subprimes marque un tournant décisif dans l’histoire financière mondiale, se distinguant des crises précédentes par son intensité et sa dimension globale. Dans un contexte d’interactions accrues entre pays développés et émergents, la stabilité financière constitue un enjeu décisif face au risque de contagion sur les marchés financiers. Dans le premier chapitre de cette thèse, nous nous intéressons au changement de paradigme réglementaire observé sur les marchés de dérivés après la crise des subprimes et aux enjeux en termes de stabilité financière d’une refonte de la réglementation sur ces marchés. Dans un second chapitre, nous mettons en exergue les phénomènes de contagion observés sur le marché de la dette durant la crise de la dette souveraine, et revenons sur l'impact des programmes de soutien mis en place par la BCE dans un contexte de forte contagion sur ce marché en 2010. Finalement dans un troisième, nous examinons l’impact de la politique monétaire américaine sur les flux capitaux vers les fonds obligataires spécialisés sur les économies émergentes en 2013. / Less than a century after the 1929 crisis, the subprime crisis was a turning point in world financial history, differing from previous crises by its intensity and global dimension. In a context of increased interactions between developed and emerging countries, financial stability became a critical issue given rising contagion risks on financial markets. In the first chapter of this thesis, we focus on the regulatory paradigm shift observed in the derivatives markets after the subprime crisis and resulting challenges on the back of a reshaping of the global financial regulation. In the second chapter, we highlight the contagion phenomena observed on debt markets during the euro area sovereign debt crisis, and observe the impact of support programs implemented by the ECB in 2010. Finally, in a third chapter, we examine the impact of U.S. monetary policy on capital flows to bond funds specialized in emerging economies in 2013.

This paper highlights the amplifier mechanism that has the evolution of exchange rate on the credit cycle in an economy with high financial dollarization, one mechanism that has been called «the exchange rate accelerator». In this scenario, the natural procyclicality between the business cycle and credit cycle goes into the background, but perhaps not fade. The paper develops the theoretical framework underlying the transmission mechanism and shows some stylized facts of Peruvian credit system. The following presents an econometric model with panel data to estimate the effect of exchange rate accelerator on the evolution of credit default in the credit system institutions. From these empirical results, and under Basel II philosophy, the paper discusses how to implement, in banks and other credit institutions, prudential regulation that requires the allocation of provisions and capital for credit risk arising from exchange rate risk caused by foreign currency loans. The basic idea of these measures would help the system to internalize the externalities produced by this non-diversifiable risk factor. / En este trabajo se pone en evidencia el mecanismo amplificador que tiene la evolución del tipo de cambio sobre el ciclo crediticio en una economía con alta dolarización financiera, un mecanismo que se puede denominar «acelerador cambiario». En este contexto, la natural prociclicidad entre el ciclo económico y el ciclo crediticio pasa a un segundo plano, si es que no se desvanece. El documento desarrolla el marco teórico que sustenta el mecanismo de transmisión y muestra algunos hechos estilizados del sistema crediticio peruano. A continuación se plantea un modelo econométrico con datos de panel para estimar el efecto del acelerador cambiario sobre la evolución de la mora crediticia en las entidades del sistema. A partir de estos resultados empíricos, y bajo la filosofía de Basilea II, se discute la forma de implementar, en los bancos y demás entidades de crédito, una regulación prudencial que requiera la asignación de provisiones y de capital para el riesgo crediticio derivado del riesgo cambiario originado por los créditos en moneda extranjera. La idea básica es promover la internalización de las externalidades producidas por este factor de riesgo no diversificable.

Les pratiques des banques centrales se sont graduellement ajustées, depuis les années 90, aux principes fondamentaux de la Nouvelle synthèse, et ont convergé vers une normalisation qui a fait ses preuves. D'une part, cette normalisation se fonde sur la doctrine de stabilité des prix, déployée sous la forme du système de ciblage d'inflation. D'autre part, elle s'accompagne de pratiques afin de renforcer la crédibilité et la transparence. De plus, la représentation DSGE de l'économie adoptée par la Nouvelle synthèse, et du fait de sa cohérence théorique, s'est aussi imposée comme un cadre analytique central de politique monétaire, particulièrement adapté pour des analyses de scenarii et pour générer des prévisions de variables d'intérêt. En parallèle, les banques centrales ont tenté de favoriser un environnement financier stable, à travers leur rôle de prêteur en dernier ressort. Et grâce au principe d'efficience des marchés, l'utilisation de la politique monétaire face aux bulles spéculatives a été déconseillée. Cependant, la dimension de stabilité financière a souffert d'une absence de définition consensuelle, conduisant à une multiplication des méthodologies pour la quantification des risques, la prévention des crises et l'évaluation du système financier. La crise de 2007 a remis en cause ce consensus naissant. Tout d'abord, l'apparition de perturbations financières dans un environnement de stabilité des prix a semblé invalider les principes théoriques de la politique monétaire. Ensuite, l'adoption d'une série de mesures dites non conventionnelles, suite à l'atteinte du taux plancher zéro, a montré l'insuffisance des instruments usuels de politique monétaire pour contrer la crise et favoriser une reprise durable. Enfin, le traitement résiduel réservé à la sphère financière, dans le modèle canonique NK n'a pas permis d'appréhender les régularités du cycle d'affaires, les vulnérabilités financières, le manque de liquidité ou la procyclicité des systèmes financiers. Les critiques adressées à la Nouvelle synthèse ont principalement porté sur des hypothèses spécifiques, et non pas sur le cadre lui-même. Par conséquent, la pertinence du cadre NK semble toujours de mise, du fait de son caractère unique d'absorption de théories au départ fort variées. Ainsi, l'introduction de la possibilité de défaut et de la monnaie a permis la modélisation d'un secteur bancaire actif, afin de comprendre les altérations du mécanisme de transmission des chocs et de considérer l'existence de taux d'intérêts multiples. De même, le rôle du marché interbancaire a été abordé pour étudier le manque de confiance, l'assèchement des liquidités et l'impact du marché sur le financement de l'économie. Enfin, les multiples dimensions des politiques monétaires non conventionnelles ont été intégrées, en vue d'examiner leur efficacité et d'identifier les mécanismes de transmission. Toutefois, il n'existe pas de représentation microéconomiquement fondée, suffisamment générale pour capter, de manière logique et parcimonieuse, la majorité des spécificités associées à la sphère financière. La crise a également permis de dégager des enseignements concernant le secteur financier, en ce qui concerne son rôle en termes d'accentuation des non-linéarités de la dynamique économique, sur les répercussions négatives du taux plancher zéro et, enfin, sur la remise en cause de l'hypothèse de Schwartz. En mettant en évidence les liens entre la politique monétaire et la politiques macroprudentielle, la crise a donc invalidé le principe de dichotomie adopté jusque-là. Ces nouvelles orientations ne sont cependant pas totalement claires. En effet, la gestion de la sortie de la crise économique, et l'impact des plans d'austérité, laissent apparaitre de nouveaux défis : un risque de stagnation similaire à celui qui a touché le Japon ; le retour aux pratiques de transformation des échéances à fort effet de levier; et le flou entourant les stratégies de sortie des banques centrales. / Central banks practices have gradually adjusted, since the 90s, to the fundamental principles of the New synthesis, and converged towards a normalization that has proved its worth. On one hand, this normalization is based on the doctrine of price stability, under the form of an inflation targeting system. On the other hand, it is supplemented with practices intended to enhance credibility and transparency. In addition, and because of its theoretical coherence, the DSGE representation of the economy adopted by the New Synthesis also emerged as a central analytical framework for monetary policy, particularly suitable for scenario analyzes and for generating forecasts of variables of interest. At the same time, central banks have tried to promote a stable financial environment, through their role as lender of last resort. And thanks to the principle of market efficiency, the use of monetary policy in the face of speculative bubbles has been limited. However, the concept of financial stability has been lacking a consensual definition, leading to a proliferation of methodologies for quantifying risk, preventing crisis and evaluating the financial system. The 2007 crisis has challenged this emerging consensus. First, the onset of the financial turmoil, in an environment of price stability, seemed to invalidate the theoretical principles of monetary policy. Then, the adoption of a series of so-called unconventional monetary policy measures, upon reaching the zero lower bound, exposed the inadequacy of conventional monetary policy instruments, in order to counter the crisis and encourage a sustainable recovery. Finally, the residual treatment of the financial sector in the canonical NK model failed to capture the regularities of the business cycle, the financial vulnerability, the lack of liquidity and the procyclicality of financial systems. Critics of the New synthesis focused on specific assumptions, rather than on the framework itself. Therefore, the relevance of the NK framework still seems appropriate, because of its unique capability of absorbing various theories which may initially seem irreconcilable. Thanks to the introduction of money and the possibility of default, the modeling of an active banking sector helped understand the changes in the shocks transmission mechanism, and enabled the introduction of multiple interest rates. Similarly, the interbank market role has been addressed in order to investigate the erosion of confidence, the drying up of liquidity and the impact on the financing of the economy. Finally, the multiple dimensions of unconventional monetary policies have been incorporated in order to assess their effectiveness, and to identify the transmission mechanisms. However, there is no microeconomically based representation general enough to capture, in a logic and parsimonious way, the majority of the financial characteristics. The crisis has also helped to draw lessons about the financial sector, with regards to its role in terms of increased economic non-linearities, the negative impact of the zero lower bound, and the questioning of the Schwartz hypothesis. By highlighting the links between monetary and macroprudential policies, the crisis has then invalidated the dichotomy principle adopted until now. These new guidelines are, however, not entirely clear. Indeed, the economic recovery management and the impact of austerity measures create new challenges: a stagnation risk similar to the one that hit Japan; a return to highly leveraged maturity transformation practices; and blurry central banks exit strategies.

Cette thèse comprend trois essais sur le futur des banques centrales et sur la manière dont elles doivent réguler la liquidité. Réguler la liquidité pour le futur, nécessite pour les banques centrales, de justifier et de concevoir une politique de la liquidité. Cette politique de la liquidité existe de fait sous la forme des mesures non conventionnelles mais n’est pas formalisée. L’apport de cette thèse est de proposer une conceptualisation de la politique de la liquidité, comme élément marquant du futur des banques centrales et comme fondation théorique des rôles en dernier ressort des banques centrales. La thèse montrera qu’il s’agit en fait d’une politique des liquidités du fait de l’existence de différents types de liquidités. Elle l’illustrera par la proposition d’un modèle théorique et mettra en relation théorie et pratique des liquidités. La thèse traite le rôle de la banque centrale sur la liquidité tout d’abord sous la forme d’un preneur de risque en dernier ressort puis ensuite sous la forme d’un agent central agissant sur les différentes formes de liquidité. Les deux premiers essais couvrent la problématique de la banque centrale, preneur de risque en dernier ressort, sous un aspect positif dans le premier essai puis sous un aspect normatif dans le deuxième. Le dernier essai intègre le concept de preneur de risque en dernier ressort dans un ensemble plus large d’actions de la banque centrale, couvrant les différentes formes de liquidité. / This PhD thesis includes three essays on the future of central banks and how they should regulate liquidity. Regulating liquidity for the future, requires for central banks to justify and design a liquidity policy. This policy of liquidity actually exists in the form of unconventional measures but is not formalized. The contribution of this thesis is to propose a conceptualization of a liquidity policy as a key element for the future of central banks and as a theoretical foundation for the roles of central banks as last resorts. The thesis will show that it is actually a policy of liquidities because of the existence of different types of liquidity. It will illustrate it by proposing a theoretical model and by linking theory and practice of liquidity. The thesis deals with the role of the central bank on liquidity, first in the form of a risk taker of last resort and then in the form of a central agent acting on the various forms of liquidities. The first two essays cover the problem of the central bank as risk taker of last resort, under a positive aspect in the first essay and then under a normative aspect in the second. The last essay incorporates the concept of risk taker of last resort into a broader set of central bank actions covering different forms of liquidities.

Très souvent comparée à la grande dépression de 1929, la crise économique mondiale des années 2007-2012 a révélé que le système bancaire européen, en particulier, est dominé par des banques trop grosses, trop complexes, mais également trop connectées pour faire faillite. Du fait de leur statut systémique, celles-ci jouissent d’avantages de coûts de financement moins chers qui constituent des distorsions concurrentielles mais également des problèmes d’aléa moral quant aux incitations qui les poussent à accroitre leur taille. Fort de ce constat, l’objectif de cette thèse est d’analyser comment la déformation de la structure de marché, de la structure des banques et les problèmes de tarification des risques qu’elles induisent affectent la stabilité financière. Elle est structurée en quatre chapitres. Dans le chapitre 1, nous montrons qu’une augmentation de la probabilité de défaillance individuelle accroit la contribution des banques au risque systémique. Dans le chapitre 2, nous démontrons que la subvention implicite a le potentiel de diminuer mais également d’inverser l'effet réduction des risques de nature systémiques d'une concurrence accrue. Tandis que dans le chapitre 3, nous établissons qu’elle a la capacité de distordre et au-delà d’un certain seuil, d’inverser l’effet accroissement de risques individuels d’une concurrence accrue. Conjointement, ces résultats soutiennent le consensus selon lequel le risque individuel et le risque systémique généré par les banques ont deux dimensions distinctes. Dans le chapitre 4, nous prouvons que les grandes institutions financières identifiées systémiques et bénéficiant de la subvention implicite contribuent davantage au risque systémique quand elles ont une dépendance accrue au financement sur le marché de gros de la liquidité. / The global financial crisis that peaked in 2008 showed that the European banking sector, in particular, is dominated by banks “too big to fail”, “too complex to fail”, but also “too connected to fail”. Due to their systemic status, they benefit from cheaper funding costs leading to competitive distortions, and also raise issues of moral hazard regarding their incentives to grow in size. Against this backdrop, the aim of this thesis is to examine how distortions in the market structure, the structure of banks, and the issues of risk-pricing they induce affect the financial stability. It is articulated around four chapters. In the first chapter, we show that an increase in the probability of individual default raises banks' contribution to systemic risk. In the second chapter, we demonstrate that implicit subsidies have the potential to mitigate and beyond a certain threshold, reverse the systemic-risk reducing effect of increased competition. Nevertheless, in the third Chapter, we establish that implicit subsidies have the ability to distort and beyond a certain threshold, reverse the individual-risk increasing effect of heightened competition. Together, these results support the consensus that individual risk and systemic risk generated by banks have two distinct dimensions. In the fourth chapter, we show that “large” global systemically important institutions (G-SIIs) benefiting from implicit subsidies contribute more to systemic risk when they become more dependent on short-term wholesale funding.

This master's thesis is focused on the issues of stress testing in the context of financial stability. It consists of two major parts. The first part deals with methodology of general stress tests with special regard to stressed indicators and relevant risks. In the second part, the difficulties and shortcomings of general stress tests are analysed with respect to the dynamic expansion of financial instruments and markets. A special attention is paid to integrate liquidity risk and contagion risk into the current stress testing framework. Furthermore, the alternative instruments for increasing the complexity of banks financial soundness analysis are presented. It can be said that the system of financial stability analysis before the crisis was not sufficient because it did not reflect on all risk exposures. The main contribution of this thesis is the organized presentation of possible solutions which would help to enhance the quality of stress testing outputs and to a certain extent unify these outputs as well.

The last ten years have been extremely challenging for both researchers in monetary economics and policymakers.The Global Financial Crisis of 2007-2009, in spite of its size and severity, was initially widely perceived in the Euro Area (EA) as an imported and transitory crisis: it was frequently predicted that the EA economy would recover once the US and the World Economy rebounded. Instead, after a brief period of recovery, the Euro Area was hit by the Sovereign Debt Crisis of 2011-12, a domestic crisis which widened the divide already existing between core and peripheral countries up to the point of threatening a break-up of the euro. Thanks to the bold monetary policy response of the ECB this fear gradually vanished, but the sudden fall in oil price and the uncertain economic outlook led to the low inflation period, particularly severe in the EA, in which inflation, both in terms of headline and core measures, is well below the ECB target of 2%. This prompted the ECB to launch its Quantitative Easing program, at the beginning of 2015, much later than what the FED implemented to offset the impact of the 2007-09 crisis.This dissertation consists of two different but interlinked parts, which contribute to the empirical literature on monetary policy, low inflation and the business cycle. The first part is composed by Chapters I and II, and it is devoted to analyse the EA economy, both before the Global Financial Crisis and during the most recent low inflation period. The second one, composed by Chapters III and IV, focuses on the US economy to evaluate the possible negative consequences of the extraordinary monetary stimulus undertaken by the FED. In particular, we study the risks for both price and financial stability of the effects of the so called lift-off, i.e. the gradual normalization of monetary stance. In the first Chapter, we provide novel evidence on the different effects of the ECB common monetary policy on euro-area core and peripheral countries even before the eruption of the crisis.We estimate a structural dynamic factor model on a large panel of Euro Area quarterly variables to take into account both the comovement and the heterogeneity in the EA business cycle, and we then simulate the model to investigate the possible existence of asymmetric effects of ECB monetary policy on member states' economies. Data stop before the eruption of the Global Financial Crisis in order to only assess conventional monetary shocks, which are identified by means of sign restrictions. Although the introduction of the euro has changed the monetary transmission mechanism in the individual countries towards a more homogeneous response, we find that differences still remain between North and South Europe in terms of prices and unemployment. These results are the consequence of country-specific structures, rather than of European Central Bank policies.In the second Chapter we use a Bayesian VAR model to analyse the transmission of global and domestic shocks in the euro area, with a particular focus on the drivers of inflation, especiallyin the recent period labeled as low inflation. We identify several shocks by means of sign restrictions, and we account for the role of ECB unconventional monetary policies by using a shadow interest rate. We document that the recent low inflation phase was not entirely attributable to falling oil prices, but also to slack in economic activity and to insufficiently expansionary monetary policy, because of the Zero Lower Bound of interest rates. Interestingly, we show that the launch of the ECB Quantitative Easing turned the monetary stance into more accommodative, preventing deflationary outcomes. In the third Chapter we provide an empirical evaluation of the existence of a "dark side" of monetary policy, i.e. the possibility that credit spreads abruptly rise following a monetary tightening, after being compressed by an extraordinary period of monetary easing. This would create a problematic trade--off for the central bank, as temporary monetary expansions might at once stimulate the economy and sow the seeds of abrupt and costly financial market corrections in the future in terms of risks for financial stability (Stein, 2014).We investigate this possibility using data for the US by exploiting non-linear methods to examine the propagation of monetary shocks through US corporate bond markets. Across different methodologies, we find that the transmission of monetary shocks is mostly symmetric. What is asymmetric is instead the impact of macroeconomic data releases: spreads respond more to bad news. Crucially, these responses anticipate economic slowdowns rather than causing them directly.However, empirical evidence points to the possibility of larger effects of expansionary monetary shocks depending on (i) the type of non-linear estimation technique (ii) the identification of the shock and (iii) the inclusion of unconventional measures in the analysis. Finally, in the fourth Chapter, we ask whether the FED has riskily delayed the exit from its large monetary easing, increasing the probability of a future inflationary burst. We do so by means of medium and larger scale Bayesian VAR, which we use for both structural analysis, i.e. the evaluation of monetary policy shocks, and forecasting, i.e. the running of counterfactuals and scenario analysis.We show that expansionary monetary policy did not trigger a large deviation of inflation from its steady state. Furthermore, the FED monetary stance is totally in line with the concurrent macroeconomic dynamics. Last, our model predicts that US core inflation will lie well below its 2% target in 2017, a finding only recently acknowledged by the FOMC projections. / Doctorat en Sciences économiques et de gestion / info:eu-repo/semantics/nonPublished

The Master´s thesis focuses on the financial situation evaluation of the particular company, specifically in the period of years from 2006 to 2011, supported by the selected financial analysis indicators. It deals with an analysis of the firm and problems it faces to. Moreover, it brings a number of possible suggestions, which could improve the financial stability of the company in next years.

After the recent world financial crisis, macroprudential policy tools have started to play an important role in maintaining financial stability. In many countries, the tools have been extensively used only in recent years and their effectiveness is often difficult to assess. Using an index as a proxy for policy tools is one of ways to measure their impact. In this thesis, a new index capturing, in contrast with other studies, also an intensity factor, is constructed. Results are mostly in accordance with economic intuition and existing studies and suggest that indices constructed in an equivalent way can help to understand the impact of policies on changes in housing prices and credit volumes. JEL Classification F12, F21, F23, H25, H71, H87 Keywords macroprudential policy, systemic risk, house prices growth, credit growth Author's e-mail Lucie.Wdowyczynova@hotmail.com Supervisor's e-mail Simona.Malovana@gmail.com

The diploma thesis deals with stress testing as a specific tool which is used by European Banking Association for banking sector financial stability assessment. The main aim is to provide reader with analysis of EBA stress testing. Both the EBA methodology and 2016 results are analyzed in second part. Due to high costs spend on stress testing process I consider practical usage from the bank point of view as very important. This issue is discussed in fourth part of this thesis.