本研究以事件研究法的方式，研究歐洲央行宣布量化寬鬆（Quantitative Easing, QE）對歐豬五國信用風險的影響，本研究以各國主權信用違約交換的超額報酬顯著性衡量量化寬鬆政策對信用風險的影響。 研究結果為多數的QE政策宣告對歐豬五國信用風險的影響在事件期中有正向有負向，且時常交錯分布，未有一固定的模式，故無法得到一個明確的結論。 / This paper examines the impact of the ECB’s (European Central Bank) quantitative easing program on the credit risk of PIIGS. In this case, we used each underlying countries’ excess return of their sovereign CDSs to identify if their credit risks are decreased significantly. Our finding was that most QE announcements by the ECB had multiple impacts on the credit risk of PIIGS. They had both positive and negative impacts. Also, the patterns were not the same, so we do not have a clear conclusion on whether the QE policies are good or bad for the credit risk of PIIGS.

Cette thèse de doctorat représente un effort visant à contribuer à la littérature sur le système d'alerte précoce traitant de la prévision de la crise de la dette souveraine et de la compréhension des comportements d’investissement et de croissance des PME dans le contexte de la crise financière mondiale. Le chapitre 1 adresse les crises de la dette à travers un échantillon d'économies émergentes dans la poursuite d'un modèle d'alerte précoce efficace et précis basé sur trois techniques différentes d'exploration de données. Les chapitres 2 et 3 mettent l'accent sur les mécanismes qui sous-tendent l'investissement et la croissance des PME d'un pays en voie de développement dans le contexte de la CFM. Le chapitre 2, réalisé en collaboration avec Majda Seghir, explore le comportement d'investissement des PME en Serbie relatif à la disponibilité des flux de trésorerie générés en interne dans le cadre de la CFM. Il relie cette sensibilité au niveau de contraintes financières comme approximé par les variables telles que la taille de l'entreprise, la structure de propriété, l'effet de levier et la tangibilité de leurs actifs. Finalement, le chapitre 3, travail conjoint avec Michael Stemmer, s'appuie sur l'idée derrière le chapitre 2 pour étudier l'effet des contraintes financières sur la croissance des PME serbes en utilisant le cadre GMM. Nous opposons nos résultats à une économie avancée en faisant une comparaison avec des entreprises belges. / This doctoral thesis represents an effort aimed to contribute to Early Warning System literature dealing with prediction of sovereign debt crisis and understanding of investment and growth behavior of SMEs inthe setting of the global financial crisis. Chapter 1 deals with debt crises over a sample of emerging economies in pursuit of an efficient and accurate early warning model based on three different datamining techniques. In Chapters 2 and 3 the focus is on the mechanisms behind investment and growth of SMEs in a developing country in the context of GFC. Chapter 2, joint work with Majda Seghir, exploresthe investment behavior of SMEs in Serbia with regard to the availability of internally generated cash flowin the context of GFC. It relates this sensitivity to the level of financial constraints as proxied by variables such as firm’s size, ownership structure, leverage and tangibility of their assets. Finally, Chapter 3, done in collaboration with Michael Stemmer, builds on the idea behind Chapter 2 to investigate the effect of financial constraints on growth of Serbian SMEs using GMM framework. We contrast our results with anadvanced economy by running a comparison with Belgian firms.

Alors que le début de la crise de l'euro a relancé le débat sur l’interdépendance du risque decrédit et la relation dette bancaire-dette souveraine, l’importance du secteur réel est négligéedans l’élaboration des mesures de relance de la croissance économique dans la zone euro. Cettethèse se concentre sur ces questions au sein de la zone euro. D’abord, nous évaluons les effets«spillover» de la crise souveraine sur le coût de crédit des entreprises non financières enprésence des mesures d’austérité (Chapitre-I). Nos résultats indiquent un effet significatif de ladette publique sur le coût des prêts. En outre, en période de crise, les mesures d’austéritéimpactent significativement le coût de crédit tandis qu’avant la crise, on note une petite illustrationde la demande agrégée de Keynes. Ensuite, nous montrons que les fonctions traditionnelles desbanques, notamment celle de création de liquidité fragilisent le secteur souverain (Chapitre-II). Enparticulier, nous montrons que le risque de liquidité des banques agit comme un canal depropagation de l'incertitude vers les sociétés non financières et inversement. Enfin, nousexaminons la dynamique du risque de crédit sur la dette souveraine, les entreprises et lesbanques (Chapitre-III). Nos résultats montrent qu’il existe un risque de contagion sur les secteurset les marchés financiers de l’union monétaire. Par ailleurs, les résultats des simulations dechocs de primes de risque des pays «noyaux» de la zone euro confirment l’existence d’effetsindirects sur le reste de la zone. De plus, nous constatons un phénomène de fuite desinvestisseurs vers les valeurs refuges. / The onset of euro crisis has rekindled the policy debate regarding credit risk interdependenceamong sovereign-bank nexus. In this vein, the importance of real sector is overlooked whileformulating corrective measures for the recovery of economic growth in EMU. This thesispresents a study that examined these issues in euro zone. First, we evaluate spillover effect ofeuro crisis on borrowing cost of non-financial firms in presence of austerity measures (Chapter-I).Our results suggest significant effect especially where creditor rights protection are weak. Inaddition during recent crisis, results indicate presence of credibility channel due to austeritymeasures whereas; there is slight indication of aggregate demand channel before crisis. Second,we find traditional function of bank’s liquidity creation as a significant conduit of sovereign distressto real sector (Chapter-II). Particularly, our main finding shows that bank liquidity risk acts as aconduit which propagates uncertainty towards non-financial firms and re-channels it back torespective government. Finally, we examine cross-market credit risk dynamics among sovereignbank-firm nexus to identify presence of contagion during euro crisis period (Chapter-III). Ourresults report grave evidence of credit risk contagion across sectors and member states incorresponding financial markets in EMU. Moreover like peripheral countries, simulation results toshock in core countries risk premia strongly provide evidence of contagion towards remainingeuro zone.

Submitted by Paula Magalhães (paulakmagalhaes@gmail.com) on 2017-05-24T17:25:55Z No. of bitstreams: 1 Paula Magalhaes Dissertacao.pdf: 437299 bytes, checksum: 5ee7ce9b3eb164a2bd2068b1d47f4c92 (MD5) / Approved for entry into archive by Suzinei Teles Garcia Garcia (suzinei.garcia@fgv.br) on 2017-05-24T19:26:49Z (GMT) No. of bitstreams: 1 Paula Magalhaes Dissertacao.pdf: 437299 bytes, checksum: 5ee7ce9b3eb164a2bd2068b1d47f4c92 (MD5) / Made available in DSpace on 2017-05-25T12:11:52Z (GMT). No. of bitstreams: 1 Paula Magalhaes Dissertacao.pdf: 437299 bytes, checksum: 5ee7ce9b3eb164a2bd2068b1d47f4c92 (MD5) Previous issue date: 2017-05-11 / Este artigo trata do papel do Fundo Monetário Internacional como um agente sênior, fato observado empiricamente. Um agente soberano sujeito a um choque estocástico deve tomar emprestado para suavizar seu consumo. O mercado financeiro internacional oferece seus fundos, contudo cobra um prêmio por dividir o risco sobre o choque com o governo. O FMI, embora sênior, empresta a uma taxa menor. Encontramos as condições sob as quais a presença do FMI em tal mercado é relevante e positiva ao agente emprestador. Tais condições dependerão do tamanho do prêmio de risco cobrado, que em nossa análise é dado exogenamente. / This paper addresses the role of the International Monetary Fund in the international monetary economy as a senior agent, as observed empirically. A sovereign agent subject to a stochastic shock must borrow to smooth out consumption. The international financial market offers fund, however it charges a premium for sharing the risk over the shock with the government. The IMF, however senior, lends at a lower rate. Hence, the sovereign government must choose its borrower. We find conditions under which the IMF presence in such market is relevant and positive to the borrowing agent. Such conditions will depend on the size of the risk premium charged, which in our analysis will be exogenously given

La mise en place de l'Euro en 1999 a constitué un événement économique majeur pour les Etats européens. La crise financière de 2007, puis la crise de la dette souveraine en 2010, ont amené à remettre en question la pérennité de la zone Euro, et la capacité de certains de ses membres à respecter leurs engagements vis-à-vis de la monnaie unique. Les mesures d'austérité mises en oeuvre au sein de l'Union Economique et Monétaire dans le contexte actuel de crise peuvent constituer pour certains Etats une tentation supplémentaire pour quitter la monnaie unique et recouvrer leur indépendance monétaire et fiscale. Une sortie de la zone Euro de la Grèce, voire d'autres Etats membres en difficulté (Portugal, Irlande, Italie, et Espagne) n'est aujourd'hui plus un scénario à exclure. Cette thèse se propose de considérer la question du régime monétaire optimal, régime de change flexible ou union monétaire, pour les 17 pays de la zone Euro, dans le cadre des crises financières et de dettes souveraines qui les affectent actuellement. Le premier chapitre est général et vise à démontrer formellement la survenue d'une rupture structurelle due au passage à la monnaie unique en 1999. Il montre qu'une telle rupture s'est bien produite pour les pays de la zone Euro autour de l'année 1992, qui a marqué l'adoption du traité de Maastricht et la mise en place des critères de convergence pour l'adoption de l'Euro. Cette rupture n'est pas partagée par les trois pays européens qui ont préservé leur monnaie (Royaume-Uni, Suède, et Danemark). Le second chapitre constitue le coeur de ce travail. Il présente le modèle de référence utilisé pour mener la comparaison entre les deux régimes monétaires considérés pour la zone Euro. Il s'agit d'un modèle à deux pays intégrant des rigidités financières dans le cadre des transactions interbancaires conclues entre les Etats membres. Le modèle, une fois étalonné pour la zone Euro, suggère que les rigidités financières peuvent jouer un rôle considérable dans la dynamique de ces Etats, les chocs affectant les économies partenaires pouvant contribuer de manière significative à la dynamique nationale. Les simulations numériques préliminaires de crise financières menées sur le modèle ne permettent pas d'apporter de réponse concluante quant aux performances des deux régimes monétaires envisagés, le régime de change flexible semblant amener une stabilité accrue, là où une union monétaire permet une récupération plus rapide suite à la crise initiale. Le dernier chapitre remplit un double objectif. Il propose d'abord un critère de bien-être formel pour l'évaluation des performances respectives des deux régimes considérés. Il développe également un certain nombre d'extensions au modèle de référence, afin d'intégrer la dette souveraine, et les politiques de crédit (Covered Bonds Purchase Programme et Securities Markets Programme) mises en place par la BCE depuis le début de la crise. Les résultats montrent qu'en l'absence de politiques interventionnistes de la part de la Banque Centrale Européenne, une grande majorité des Etats de la zone Euro (15 sur 17) bénéficieraient d'un plus haut niveau de bien-être dans un régime de change flexible. Toutefois, les conclusions s'inversent dans le cadre du Securities Markets Programme, où les Etats membres deviennent alors majoritairement favorables au régime d'union monétaire. Celà suggère que la BCE a un rôle à jouer au sein de l'espace monétaire Européen qui va au-delà de sa fonction première d'instigatrice de la politique monétaire. / The introduction of the Euro currency in 1999 represented a major event for the European economies. The 2007 financial crisis and the subsequent 2010 sovereign debt crisis have led to question the sustainability of the Euro area and the capacity of certain member states to fulfil their commitments with respect to the single currency. The numerous austerity plans implemented within the Economic and Monetary Union in the current context of crisis constitute additional arguments for certain states to leave the single currency and retrieve their fiscal and monetary independences. It is not unconceivable anymore for countries such as Greece, Portugal, Ireland, Italy and Spain (the PIIGS) to envisage exiting the Euro area. This thesis considers the issue of determining the optimal monetary regime  flexible exchange rates or monetary union  for the 17 Eurozone countries, accounting for the current financial and sovereign debt crises. Chapter 1 is general and aims at formally establishing the occurrence of a structural break attributable to the 1999 passage to the single currency. It shows that such a break did take place for Euro area countries around 1992, the year which marked the adoption of the Maastricht Treaty and the settlement of the convergence criteria for the Euro. This break is not shared by the three European States which chose to preserve their own currencies (the United Kingdom, Sweden and Denmark). Chapter 2 constitutes the core of this work. It introduces the benchmark model used to perform the comparison between the two monetary regimes considered for the Euro area. It features a two-country open-economy model integrating financial frictions through cross-border interbank markets. Once calibrated for the Euro area, the model suggests that financial rigidities may play a substantial role in the dynamics of Eurozone economies, with a potentially significant impact of shocks affecting the partner economies over national developments. Preliminary financial crisis simulations run on the model prove inconclusive to assess the performances of the two monetary regimes contemplated. On the one hand, the flexible exchange rate regime results in improved stability, but on the other hand the monetary union typically allows for faster recovery following the initial crisis trigger. The third and final chapter meets a double purpose. It first proposes a formal welfare criteria to assess the respective performances of the two monetary regimes under consideration for the Euro area. It then augments the benchmark model with a number of extensions, so as to integrate sovereign debt and the diverse credit policies (Covered Bonds Purchase Programme and Securities Markets Programme) implemented by the ECB since the beginning of the crisis to the basic framework. The results show that absent credit policies, a vast majority of Euro area members (15 out of 17) would enjoy higher welfare levels under a flexible exchange rate regime. These conclusions nevertheless reverse under the Securities Markets Programme, where a majority of member states then favour the monetary union. This suggests that the ECB has a role to play for the Euro area which goes beyond its primary function of monetary policy maker.

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

The dissertation thesis investigates the relationship between corporate social responsibility (CSR) and financial performance (FP) on the sample of 51 Eurozone banks over the period from 2008 to 2014. The investigation is based on a panel data regression analysing the financial data from Bankscope and the social performance data from CSRHub. Return on assets and the ratio of non-performing loans to total loans represent the measures of financial performance and are used as dependent variables. The results of this model have shown a positive and statistically significant CSR-FP relationship. It is argued that even though the results show statistical significance, they do not necessarily include such a strong informational value. This is caused by methodological limitations, such as potentially biased data on CSR, as well as by the theoretical ones. The main theoretical concern, detected in the dissertation thesis, is a need for redefinition of the banks' driving motives of engaging in CSR activities. Banks engaging in CSR activities for merely strategic reasons should be analysed separately on a firm-level as they may otherwise bias the empirical results. Another important aspect of the work was an argument that banks benefit from CSR mainly through the product differentiation. This could not have been tested empirically, but it is assumed that the product differentiation, for example through reputation enhancement, may play a significant role in boosting bank's profits.

La mise en finance de la dette d'Etat, et les crises auxquelles elle donne lieu, font de l'instauration d'un cadre juridique régissant la restructuration et le défaut des dettes d'Etat, un enjeu majeur pour l'Europe. En l'absence d'un droit européen de la « faillite » d'Etat, un régime de défaut a émergé sur le terrain de la pratique, dans les contrats d'emprunt d'Etat obligataires. Les Etats européens ont en effet privilégié une approche décentralisée et volontaire de la restructuration des dettes d'Etat : le contrat d'emprunt d'Etat établit les règles qui organisent les relations de dette entre les Etats débiteurs et leurs créanciers privés. Sous l'effet de l'intégration financière européenne, ce régime de défaut revêt des formes de plus en plus standardisées. Le présent travail consiste à identifier les éléments constitutifs du régime contractuel de défaut des Etats européens, à en apprécier le caractère idoine à l'aune des besoins de l'Etat et à en évaluer la portée. Il adopte pour ce faire une méthode pragmatique, basée sur une analyse empirique des contrats et une étude de cas.Il ressort de celles-ci que le régime de défaut contractuel des Etats européens conduit à l'abandon, l'érosion voire la suppression des prérogatives exorbitantes de droit commun qui étaient traditionnellement attachées à la qualité de souverain des Etats emprunteurs. D'une part, les Etats consentent, pour assurer l'attractivité de leurs titres de créance sur le marché européen très concurrentiel des dettes d'Etat, à adopter des dispositions attentatoires à leur souveraineté, qui les privent de la marge de manœuvre nécessaire à l'adoption de mesures de sauvegarde adaptées en cas de crise de la dette. D'autre part, les deux principaux fors compétents - les juridictions anglaises et new-yorkaises - ont consacré la force obligatoire des contrats d'emprunt d'Etat, lesquels priment les considérations d'intérêt général qui jadis fondaient le défaut souverain. En effet, la jurisprudence libérale de ces fors, favorables aux créanciers de l'Etat, ont encouragé la professionnalisation des requérants et le développement d'une industrie contentieuse du défaut d'Etat, communément désignée comme l'industrie des « fonds vautours». Les stratégies contentieuses agressives déployées par ces nouveaux acteurs ont permis d'obtenir la condamnation des Etats défaillants et des mesures de contrainte sur le terrain encore très préservé par l'immunité d'exécution des Etats. Cette thèse a ainsi pour enjeu, et s'inscrit, dans le débat contemporain relatif à la transformation de l'Etat européen sous le poids de son endettement. / Sovereign debts’ financiarization is a global phenomenon affecting a very substantial number of States in Europe. Nevertheless, European State insolvency has not been implemented. This legal loophole didn't lead to legal uncertainty : a State default's European regime has emerged from practical experience in sovereign debt contracts. Those contracts include harmonised standards : States adopted boilerplates with the aim of contributing to effective debt market and providing liquidity. Promotion and circulation of boilerplates have been made easier by the fact that many States turn to lawyers for their financial affairs. In fact, sovereign consultancy market remains concentrated among a few major law firms. Given the spread of sovereign debt crisis, which also affected developed economies, contract « as statute » has become a major issue for all democracies. The first part intends to identify and map European boilerplates, reflecting regional particularities ; to analyse them and assess their effectiveness and efficiency in crisis conditions. The second analyses the case law that has developed over the years regarding sovereign debt contract. The European States' default contractual regime had led to the dismissal of prerogatives derogating from the generally applicable rules of law, which States used to enjoy within their financing operations. This research has both practical and prospective dimensions, aiming at putting forward proposals to deal with sovereign debt crisis.

This dissertation is a collection of three essays dealing with selected problems of the Euro Area during its most recent crisis. It applies empirical, theoretical, and institutional analyses to gain new insights into many of its financial aspects. The first essay offers an alternative explanation for the surge in government bond spreads. Many researchers attribute this phenomenon to market sentiment and multiple equilibria alone. We show that an often neglected fundamental variable may drive spreads: a decrease in the expected recovery value of private market participants. With an ever-increasing share of crisis countries’ debt held by official creditors, private investors may feel pushed into the position of subordinated creditors. The other two essays both explain the sharp increase in central bank credit from different perspectives. First, from the national perspective, central banks may be confronted with a classical tragedy-of-the-commons problem, which gives rise to an expansionary bias. Second, from the perspective of the ECB, we argue that the empirical patterns surrounding the liquidity provision in December 2011 are reminiscent of a speculative attack on a fixed exchange rate system.

This thesis analyses whether the concept of monetary sovereignty evolves under the impact of globalization and financial integration, and provides a framework for assessing what this implies. Thereby, this thesis contributes to a better understanding of both the contemporary exercise of sovereign powers in monetary and financial matters and of the driving forces behind the evolution of international law in this field. As elaborated in chapter 1, the contemporary concept of monetary sovereignty proposed by this thesis is not static but dynamic in nature. Due to the dual nature of sovereignty as a concept having not only positive but also important normative components, monetary sovereignty cannot become eroded under the impact of legal and economic constraints. Chapter 2 examines the ongoing hybridization of international monetary law arising from changes in the sources of this complex body of law, from the unsuitability of the categories of ‘hard’ and ‘soft’ law for characterizing all normative evolutions in this field, and from the rise of private and transnational monetary law. Chapter 3 scrutinizes the phenomenon of exchange rate misalignment under monetary and trade law. Intrinsically related, it assesses which aspects of the IMF’s legal framework should be reformed in order to tackle contemporary challenges to the stability of the international monetary system, such as global current account imbalances. Chapter 4 analyses the increasing regionalization of monetary sovereignty. It argues that, to the extent that transferring sovereign powers to a monetary union is what provides a state’s population with maximum monetary and financial stability, the underlying transfers are not a surrender of monetary sovereignty, but its effective exercise under the form of cooperative sovereignty. Finally, chapter 5 assesses the implications of the contemporary concept of monetary sovereignty proposed herein for the reorganization of the international financial architecture in the wake of the Great Recession.