Academic literature on the topic 'Choc de liquidité'

This article is a history of liquidity presented as interaction between metaphors and theoretical concepts in social contexts. While taking note of Zygmunt Bauman’s metaphor “liquid modernity,” the study instead surveys the wider conceptual field. The text turns around mercantile liquidity (liquidity as clarification) and liquidity in modern economics (characteristic of all assets), as well as older metaphors, notably the famous phrase of the Communist Manifesto, “all that is solid melts into air” (Alles Ständische und Stehende verdampft), which is revealed to have resonance in texts by poets, notably Heinrich Heine. The main result is the historical consistency of the field, where liquidity is a promise of knowledge and clarity.

Purpose The purpose of this study is to examine the effect of insider trading on analyst coverage and the properties of analyst earnings forecasts. Given the central role of analysts for information diffusion in stock markets, advancing understanding of the role insider trades may play in analyst coverage and forecasts, especially in the context of a changing legal environment (e.g. the implementation of Regulation Fair Disclosure [Reg FD]), should be a worthy goal. Design/methodology/approach To address the research questions, the authors run regressions in which the authors identify and control for as many possible determinants of analyst coverage and forecasts (e.g. firm size, information asymmetry and earnings performance) that are correlated with insider trades. To alleviate endogeneity concerns, the authors use three approaches. First, the authors extend the sample period to the post-Reg-FD period in which managers are not allowed to provide private information to financial analysts. Second, the authors measure analyst coverage in a window that is lagged by insider trades. Third, the authors employ firm-fixed-effects regressions in all the multivariate tests. Finally, following Larcker and Rusticus (2010), the authors conduct the impact threshold for a confounding variable test to assure that all regression analyses are indeed immune to the potential correlated-omitted-variable bias. Findings The authors find that the level of analyst coverage is positively related to the intensity of insider trades and that analyst coverage is more strongly associated with insider purchases than with insider sales. The authors also find that the positive association between analyst coverage and insider trades is less pronounced after the passage of Reg FD. Further investigations reveal that analysts revise their earnings forecasts upward following insider purchases, the informativeness of analyst forecast revisions significantly increases following insider purchases and optimistic bias in analyst forecast revisions is reduced as a result of insider purchases; the authors do not find similar evidence for insider sales. Research limitations/implications A large body of insider trading literature (Johnson et al., 2009; Badertscher et al., 2011; Thevenot 2012; Skaife et al., 2013; Billings and Cedergren 2015; Dechow et al., 2016) provides evidence that insiders actively trade on their private information, such as their foreknowledge of price-relevant corporate events. This literature suggests that insider trades are potentially value-relevant and are informative about a firm’s future prospects. However, less research attention has been paid to investigating how insider trades might affect market participants’ (especially sophisticated participants’) behavior. This study contributes to understanding the role that insider trading may play in shaping analyst behavior. Practical implications Prior research (Frankel and Li, 2004; Lustgarten and Mande, 1995; Carpenter and Remmers, 2001; Seyhun, 1990) maintains that insider sales are less informative about a firm’s future prospects than are insider purchases because insider sales might take place for the liquidity and diversification purposes. By probing the stock price responses to insider selling activities, Lakonishok and Lee (2001), Jeng et al. (2003) and Fidrmuc et al. (2006) infer that insider selling is not informative about future firm performance. However, for such an inference, the authors cannot rule out the possibility that insider sales do convey value-relevant information, but the stock market does not react correctly to such trading information (Beneish and Vargus, 2002). Because the authors focus on examining analysts’ responses to insider sales, and analysts are supposed to be sophisticated in information processing, this study adds more compelling evidence for the notion that insider sales convey less information about a firm’s future prospects than do insider purchases. Social implications There is an ongoing debate about the benefits and drawbacks of insider trading. Opponents of insider trading view insider trades as inequitable and immoral and assert that restricting insider trades curbs resource misallocation and benefits the whole society. Proponents contend that insider trading accelerates the price discovery process, increases market efficiency (Leland, 1992; Bernhardt et al., 1995; Choi et al., 2016) and may even play a role in rewarding and motivating executives (Roulstone, 2003; Denis and Xu, 2013). The authors add to this debate by documenting that insider trading increases the amount of information valuable to analyst research activities and helps enhance analyst services. Originality/value To the best of the authors’ knowledge, this study is the first to offer firm-level evidence of a positive association between insider trades and analyst coverage. By accounting for the post-Reg-FD regime, this paper is also the first to provide evidence on how analysts, in the absence of access to management’s private information because of the regime change by Reg FD, react to insider trades.

PurposeThe purpose of this paper is to investigate the impact of the global coronavirus (COVID-19) pandemic on stock market liquidity, while taking into account the depth and tightness dimensions.Design/methodology/approachThe author used a panel data regression on stock market dataset, representing 314 listed firms operating in six Middle East and North African (MENA) countries from February to May 2020.FindingsThe regression results on the overall sample indicate that the liquidity related to the depth measure was positively correlated with the growth in the confirmed number of cases and deaths and stringency index. Moreover, the market depth was positively related to the confirmed cases of COVID-19. The results also indicate that the liquidity of small cap and big cap firms was significantly impacted by the confirmed number of cases, while the stringency index is only significant for the liquidity depth measure. Moreover, the results regarding sectors and country level analysis confirmed that COVID-19 had a significant and negative impact of stock market liquidity.Research limitations/implicationsThis paper confirms that the global coronavirus pandemic has decreased the stock market liquidity in terms of both the depth and the tightness dimensions.Originality/valueWhile most empirical papers focused on the impact of the COVID-19 global pandemic on stock market returns, this paper investigated liquidity chock at firm level in the MENA region using both tightness and depth dimensions.

Cette thèse vise à évaluer la gestion de la liquidité bancaire en période de crise et à analyser l'impact des chocs de liquidité sur le comportement de prise de risque des banques et le crédit bancaire. Dans le premier chapitre, nous examinons les changements de la liquidité des banques durant les crises financières. Le deuxième chapitre a pour objectif d'étudier l'impact d'un choc de liquidité sur la prise de risque des banques. Ce chapitre étudie le comportement de prise de risque des banques en réponse à des chocs de liquidité négatifs. Le troisième chapitre examine l'impact des chocs de liquidité négatifs sur le crédit bancaire
This thesis aims to assess bank liquidity management during distress times and analyze the impact of liquidity shocks on banks' risk-taking behavior and lending. In the first chapter, we examine changes in bank liquidity during financial crises. The second chapter aims to study the impact of a liquidity shock on banks' risk-taking. This chapter studies banks' risk-taking behavior in response to negative liquidity shocks. The third chapter examines the impact of negative liquidity shocks on bank lending

La crise financière de 2009 a ravivé le débat entre les classiques et les keynésiens concernant le rôle de la finance dans le cycle d’affaire. Cette thèse étudie les conséquences macroéconomiques des imperfections du marché de crédit ainsi que quantifie leur impact sur le marché de travail. L’interaction entre chômage et frictions financière passe par l’hypothèse que les postes vacants sont financés par des fonds externes qui sont plus couteux qu’un financement interne, de par de l’impact de l’asymétrie d’information sur le marché du crédit. Il est alors montré, à l’aide de simulation d’un modèle DSGE calibré sur données US., qu’un choc financier négatif, i.e. un choc qui augmente la prime de risque sur le marché du crédit ou un choc qui détériore le bilan des entrepreneurs, réduit de manière significative les capacités d’emprunt, et, par conséquent, la création d’emplois diminue spécialement. En outre, un choc d'incertitude engendre une augmentation du taux de chômage et rend cette augmentation plus persistante en période de crise. Ce résultat est confirmé par une évidence empirique qui consistait à estimer un modèle VAR bayésien, où des variables de marché de travail réelles et financières
The crisis of 2009 raised the question whether the financial conditions matter for the business cycles and the propagation of shocks originating in the financial sphere. I tried to drive a fine analysis of this issue using micro-founded general equilibrium models. The modelling choice was backed by empirical motivations. In three essays, i study the impact of monetary and financial shocks on growth and labour market dynamics. First, an expansionary monetary policy eases credit conditions, raises risk tolerance and the quality of borrowers and generates a liquidity effect. The potency of the monetary policy and the size of the credit channel depend considerably on the degree of financial frictions in the credit market. Second, a restrictive monetary policy shock, an positive credit shock and a positive uncertainty shocks have similar effects on the economy: they plunge the economy in a recession, with output, job creations, and hours worked decreasing, while unemployment and job destructions increase. In all cases the interest rate spread increase, therefore indicating that financial conditions deteriorate, which is interpreted as a sign that financial frictions play a critical role in the propagation of these shocks. Third, the interaction between financial and labour market frictions does exist. The interplay between the two indeed plays a role in propagating the shocks. A shock to net worth, a credit shock and an uncertainty shock play a non-trivial role for the dynamics on the labour market

Notre thèse consiste à expliquer, en apportant quelques éléments théoriques, les imperfections des stress tests macro-prudentiels d’EBA/BCE, et de proposer une nouvelle méthodologie de leur application ainsi que deux stress tests spécifiques en complément. Nous montrons que les stress tests macro-prudentiels peuvent être non pertinents lorsque les deux hypothèses fondamentales du modèle de base de Gordy-Vasicek utilisé pour évaluer le capital réglementaire des banques en méthodes internes (IRB) dans le cadre du risque de crédit (portefeuille de crédit asymptotiquement granulaire et présence d’une seule source de risque systématique qui est la conjoncture macro-économique), ne sont pas respectées. Premièrement, ils existent des portefeuilles concentrés pour lesquels les macro-stress tests ne sont pas suffisants pour mesurer les pertes potentielles, voire inefficaces si ces portefeuilles impliquent des contreparties non cycliques. Deuxièmement, le risque systématique peut provenir de plusieurs sources ; le modèle actuel à un facteur empêche la répercussion propre des chocs « macro ».Nous proposons un stress test spécifique de crédit qui permet d’appréhender le risque spécifique de crédit d’un portefeuille concentré, et un stress test spécifique de liquidité qui permet de mesurer l’impact des chocs spécifiques de liquidité sur la solvabilité de la banque. Nous proposons aussi une généralisation multifactorielle de la fonction d’évaluation du capital réglementaire en IRB, qui permet d’appliquer les chocs des macro-stress tests sur chaque portefeuille sectoriel, en stressant de façon claire, précise et transparente les facteurs de risque systématique l’impactant. Cette méthodologie permet une répercussion propre de ces chocs sur la probabilité de défaut conditionnelle des contreparties de ces portefeuilles et donc une meilleure évaluation de la charge en capital de la banque
Our thesis consists in explaining, by bringing some theoretical elements, the imperfections of EBA / BCE macro-prudential stress tests, and proposing a new methodology of their application as well as two specific stress tests in addition. We show that macro-prudential stress tests may be irrelevant when the two basic assumptions of the Gordy-Vasicek core model used to assess banks regulatory capital in internal methods (IRB) in the context of credit risk (asymptotically granular credit portfolio and presence of a single source of systematic risk which is the macroeconomic conjuncture), are not respected. Firstly, they exist concentrated portfolios for which macro-stress tests are not sufficient to measure potential losses or even ineffective in the case where these portfolios involve non-cyclical counterparties. Secondly, systematic risk can come from several sources; the actual one-factor model doesn’t allow a proper repercussion of the “macro” shocks. We propose a specific credit stress test which makes possible to apprehend the specific credit risk of a concentrated portfolio, as well as a specific liquidity stress test which makes possible to measure the impact of liquidity shocks on the bank’s solvency. We also propose a multifactorial generalization of the regulatory capital valuation model in IRB, which allows applying macro-stress tests shocks on each sectorial portfolio, stressing in a clear, precise and transparent way the systematic risk factors impacting it. This methodology allows a proper impact of these shocks on the conditional probability of default of the counterparties of these portfolios and therefore a better evaluation of the capital charge of the bank

Cette thèse étudie le choix des régimes de change dans des contextes économiques particuliers. La première partie (Chapitres 1 et 2) considère le cas des petits pays dont les dettes sont libellées en monnaies étrangères et celui d’une région constituée de tels petits pays lorsqu’il existe une similitude dans la composition des paniers définissant leurs taux de change effectifs. La deuxième partie de la thèse (Chapitres 3 et 4) se penche sur la considération des différents régimes de change dans le contexte monétaire de trappe à liquidité comparativement à un environnement monétaire traditionnel. En se basant sur une modélisation théorique de type DSGE, l’économétrie bayésienne et des données de panel, la thèse utilise principalement l’analyse des fonctions de réponses, de bien-être et de désalignements monétaires comme critères de comparaison de plusieurs régimes monétaires alternatifs. Les principaux enseignements de cette thèse se résument ainsi. Le change flexible semble être le meilleur régime pour des petites économies ouvertes comme ceux de l’Asie du Sud-Est. Au niveau régional, il est montré le ciblage effectif conduit à une stabilité des taux de change bilatéraux de la région, une sorte de fixité des taux de change qui ressemblerait à une zone monétaire de facto. Dans le contexte monétaire de trappe à liquidité, on trouve que,contrairement à la croyance commune lors la crise de la zone euro, l’union monétaire est plus performante que des politiques nationales de change flexible. Seule une intervention sur le taux de change nominal pourrait permettre au régime de change indépendant de dominer l’union monétaire. A travers une analyse théorique et empirique de l’effet de la trappe à liquidité sur l’ampleur des désalignements monétaires, il est aussi montré que la contrainte ZLB tend à réduire le désalignement monétaire dans une union monétaire comparativement aux politiques nationales de flottement.Cela plaide en faveur du renforcement de l’intégration monétaire au sein d’une union durant la période de trappe à liquidité
This thesis investigates the choice of exchange rate regimes in specific economic contexts. The first part of this work (Chapters 1 and 2) considers the case of small open economies with foreign-currency denominated debt and that of a region where there is a similarity among trade-weighted currency baskets of countries. The second part of the thesis (Chapters 3 and 4) focuses on the study of exchange rate regimes and monetary integration in a liquidity trap environment relative to “tranquil” times. Based on dynamic stochastic general equilibrium (DSGE) models and Bayesian and Panel data econometrics, the thesis mainly uses the analyses of impulse responses, welfare and currency misalignments as comparison criteria among alternative currency regimes.The key lessons from this work are summarized as follows. For small open economies heavily in debted in foreign currency, like those of Southeast Asia, the flexible exchange is the best regime, followed by intermediate and fixed exchange rate regimes. At the regional level, it is shown that the exchange rate targeting regime leads to a stability of intra-regional bilateral exchange rates, which is a sort of fixity of exchange rates similar to a “de facto currency area”. In the context of a liquidity trap, we find that, contrary to common belief during the Euro area crisis, the currency union welfare dominates the independent floating regime. Only a central bank intervention in the form of a managed float policy could allow the independent floating to outperform the monetary union.Through both the empirical and theoretical analyses of the liquidity trap effects on currency misalignments, it is shown that the ZLB constraint tends to reduce currency misalignments compared with the independent floating policy. This suggests a reinforcement of the monetary integration within a monetary union during the liquidity trap

Les crises financières et les problèmes se formaient mais les indicateurs ne sont pas précis pour permettre une intervention réglementaire. La thèse propose un modèle dynamique pour le système bancaire avec une banque centrale afin de calculer un indicateur de faillite en fonction de la probabilité qu'une banque soit en faillite et les pertes rencontrées dans le réseau financier, une méthodologie qui peut améliorer la mesure, le suivi et la gestion du risque systémique.La thèse propose également des mécanismes de compensation : 1- avec un modèle considérant l'ancienneté du passif et avec un type d'actif liquide dont la vente excessive conduit à un impact sur le marché, 2 - avec un modèle considérant les participations croisées entres les banques dont les engagements interbancaires sont de différentes séniorités et avec un type d'actif liquide dont la vente excessive conduit à un impact sur le marché
Financial crisis pose important theoretical problems on creating reliable indicator of stability of financial systems on which basis the regulators could intervene. The thesis proposes a dynamic model of banking system were the central bank can calculate an indicator of potential defaults taking into consideration the probability for a bank to default and the losses encountered in the financial network, a methodology that can improve the measurement, monitoring, and the management of the systemic risk. The thesis also suggests a clearing mechanisms : 1- in a model with seniority of liabilities and one type of liquid asset whose fire sale has a market impact, 2 - in a model with crossholdings among the banks whose interbank liabilities may be senior and junior and with one liquid asset whose firing sale has a market impact