Rozprawy doktorskie na temat „Financial crises”

Chapter 1 studies the relationship between income inequality and the occurrence of banking crises for 33 advanced countries between 1970-2011. Differently from other empirical studies, the focus of this study is on levels rather than growth rates of income inequality. A statistically significant and positive relationship is found between the value of the Gini index and the probability of banking crises. This result is confirmed when income distribution is summarized by the top 1% income share. Chapter 2 investigates whether macroprudential policies have been effective to address booms in in bank and household credit. Most of the previous empirical literature with cross-country data assess the effectiveness of macroprudential policies in curbing credit growth. However, in this study estimations are conducted with a binary dependent variable capturing credit booms. The results show that an aggregate index including five different macroprudential policy instruments is negatively and significantly associated with domestic bank credit booms. The results for aggregate indexes are robust to the inclusion of country and year fixed effects. Moreover, macroprudential policies are also found to be effective to reduce the likelihood of booms in household credit. Finally, this study shows that macroprudential policies are effective to address specifically those credit booms that are followed by systemic banking crises. Chapter 3 examines the impact of macroprudential policies on banks’ systemic risk in advanced and developing countries during the period 2000-2015. The main findings suggest that a tighter macroprudential policy stance in a country is negatively and significantly associated with the level of systemic risk for banks. Moreover, tighter conditions for concentration limits seem to reduce the growth rate of systemic risk. Finally, the results also show that tightenings of macroprudential policies were negatively associated with the growth rate of systemic risk for banks prior to the Global Financial Crisis.

This thesis analyses different aspects of financial crises with a focus on the role of pecuniary externalities. The topics explored in these essays are as follows: Chapter 1 provides background on issues of illiquidity and insolvency, and discusses how the two can interact. Chapter 2 studies pecuniary externalities in a `bank run' model where banks supply credit in the form of marketable securities. An aggregate liquidity shock, which triggers `fire sales' of such securities, can lead to insolvency when their value falls. So, in this type of model, a run on several banks can lead to insolvency driven pecuniary externalities. Chapter 3 explores three explanations of the U.S. subprime crisis; insolvency due to externalities, insolvency due to cheating, and illiquidity driven by panic. We argue that these narratives should be treated as complements (rather than as substitutes), with each playing an important role at different stages of the crisis. Chapter 4 studies the reversibility of shocks in a general equilibrium model of competitive markets with heterogeneous beliefs. I find that heterogeneous beliefs can amplify shocks; and, due to asymmetric adjustment of risky asset prices, they can also lead to systemic default when a group of optimistic agents exits the market.

The aims of this thesis are threefold: (i) to investigate empirically the political and economic determinants of income inequality, paying particular attention to the role of institutions and institutional development; (ii) to determine the impact of macro-shocks (such as financial crises) on some of the most widely used human well-being indicators, such as poverty and mortality; (iii) to assess the importance of institutions and institutional change, investigating the impact of key aspects of institutional change in former communist countries (rapid privatization programmes) onto human well-being (mortality). Fulfilling these aims is important in its own right, but also from a policy point of view. In terms of income inequality, an enhanced understanding of its determinants, will help facilitate the adoption of policies aimed at reducing it. This is particularly important, since a reduction in income inequality could have positive spill-over effects on other human well-being indicators such as health or education. Finally, a deeper understanding of the impact of financial crises helps to facilitate immediate policy responses that might better shelter those that suffer the most during periods of macroeconomic shocks. The overall findings of the thesis support the notion that financial (and economic) crises carry negative consequences for the most vulnerable parts of society. Vis-à-vis the determinants of inequality, the thesis finds that economic determinants carry more weight than political ones (and some of the determinants, for example, financial sector development, have an inverted U-shaped relationship with inequality). Finally, the thesis finds no evidence in support of the claim that rapid privatization in the countries of Central and Eastern Europe and the former USSR was associated with increases in mortality rates, further shedding light onto the social implications of the transition process.

Connus sous le nom de Systèmes d’Alerte Avancés, ou Early Warning Systems (EWS), les modèles de prévision des crises financières sont appelés à jouer un rôle déterminant dans l’orientation des politiques économiques tant au niveau microéconomique qu’au niveau macroéconomique et international. Or,dans le sillage de la crise financière mondiale, des questions majeures se posent sur leur réelle capacité prédictive. Deux principales problématiques émergent dans le cadre de cette littérature : comment évaluer les capacités prédictives des EWS et comment les améliorer ?Cette thèse d’économétrie appliquée vise à proposer (i) une méthode d’évaluation systématique des capacités prédictives des EWS et (ii) de nouvelles spécifications d’EWS visant à améliorer leurs performances. Ce travail comporte quatre chapitres. Le premier propose un test original d’évaluation des prévisions par intervalles de confiance fondé sur l’hypothèse de distribution binomiale du processus de violations. Le deuxième chapitre propose une stratégie d’évaluation économétrique des capacités prédictives des EWS. Nous montrons que cette évaluation doit être fondée sur la détermination d’un seuil optimal sur les probabilités prévues d’apparition des crises ainsi que sur la comparaison des modèles.Le troisième chapitre révèle que la dynamique des crises (la persistance) est un élément essentiel de la spécification économétrique des EWS. Les résultats montrent en particulier que les modèles de type logit dynamiques présentent de bien meilleurs capacités prédictives que les modèles statiques et que les modèles de type Markoviens. Enfin, dans le quatrième chapitre nous proposons un modèle original de type probit dynamique multivarié qui permet d’analyser les schémas de causalité intervenant entre différents types crises (bancaires, de change et de dette). L’illustration empirique montre clairement que le passage à une modélisation trivariée améliore sensiblement les prévisions pour les pays qui connaissent les trois types de crises
Known as Early Warning Systems (EWS), financial crises forecasting models play a key role in definingeconomic policies at microeconomic, macroeconomic and international level. However, in the wake ofthe global financial crisis, numerous questions with respect to their forecasting abilities have been raised,as very few signals were drawn prior to the starting of the turmoil. Two questions arise in this context:how to evaluate EWS forecasting abilities and how to improve them?The broad goal of this applied econometrics dissertation is hence (i) to propose a systematic model-free evaluation methodology for the forecasting abilities of EWS as well as (ii) to introduce new EWSspecifications with improved out-of-sample performance. This work has been concretized in four chapters.The first chapter introduces a new approach to evaluate interval forecasts which relies on the binomialdistributional assumption of the violations series. The second chapter proposes an econometric evaluationmethodology of the forecasting abilities of an EWS. We show that adequate evaluation must take intoaccount the cut-off both in the optimal crisis forecast step and in the model comparison step. The thirdchapter points out that crisis dynamics (persistence) is essential for the econometric specification of anEWS. Indeed, dynamic logit models lead to better out-of-sample forecasting probabilities than those oftheir main competitors (static model and Markov-switching one). Finally, a multivariate dynamic probitEWS is proposed in the fourth chapter to take into account the causality between different types of crises(banking, currency, sovereign debt). The empirical application shows that the trivariate model improvesforecasts for countries that underwent the three types of crises

Connus sous le nom de Systèmes d’Alerte Avancés, ou Early Warning Systems (EWS), les modèles de prévision des crises financières sont appelés à jouer un rôle déterminant dans l’orientation des politiques économiques tant au niveau microéconomique qu’au niveau macroéconomique et international. Or,dans le sillage de la crise financière mondiale, des questions majeures se posent sur leur réelle capacité prédictive. Deux principales problématiques émergent dans le cadre de cette littérature : comment évaluer les capacités prédictives des EWS et comment les améliorer ?Cette thèse d’économétrie appliquée vise à proposer (i) une méthode d’évaluation systématique des capacités prédictives des EWS et (ii) de nouvelles spécifications d’EWS visant à améliorer leurs performances. Ce travail comporte quatre chapitres. Le premier propose un test original d’évaluation des prévisions par intervalles de confiance fondé sur l’hypothèse de distribution binomiale du processus de violations. Le deuxième chapitre propose une stratégie d’évaluation économétrique des capacités prédictives des EWS. Nous montrons que cette évaluation doit être fondée sur la détermination d’un seuil optimal sur les probabilités prévues d’apparition des crises ainsi que sur la comparaison des modèles.Le troisième chapitre révèle que la dynamique des crises (la persistance) est un élément essentiel de la spécification économétrique des EWS. Les résultats montrent en particulier que les modèles de type logit dynamiques présentent de bien meilleurs capacités prédictives que les modèles statiques et que les modèles de type Markoviens. Enfin, dans le quatrième chapitre nous proposons un modèle original de type probit dynamique multivarié qui permet d’analyser les schémas de causalité intervenant entre différents types crises (bancaires, de change et de dette). L’illustration empirique montre clairement que le passage à une modélisation trivariée améliore sensiblement les prévisions pour les pays qui connaissent les trois types de crises
Known as Early Warning Systems (EWS), financial crises forecasting models play a key role in definingeconomic policies at microeconomic, macroeconomic and international level. However, in the wake ofthe global financial crisis, numerous questions with respect to their forecasting abilities have been raised,as very few signals were drawn prior to the starting of the turmoil. Two questions arise in this context:how to evaluate EWS forecasting abilities and how to improve them?The broad goal of this applied econometrics dissertation is hence (i) to propose a systematic model-free evaluation methodology for the forecasting abilities of EWS as well as (ii) to introduce new EWSspecifications with improved out-of-sample performance. This work has been concretized in four chapters.The first chapter introduces a new approach to evaluate interval forecasts which relies on the binomialdistributional assumption of the violations series. The second chapter proposes an econometric evaluationmethodology of the forecasting abilities of an EWS. We show that adequate evaluation must take intoaccount the cut-off both in the optimal crisis forecast step and in the model comparison step. The thirdchapter points out that crisis dynamics (persistence) is essential for the econometric specification of anEWS. Indeed, dynamic logit models lead to better out-of-sample forecasting probabilities than those oftheir main competitors (static model and Markov-switching one). Finally, a multivariate dynamic probitEWS is proposed in the fourth chapter to take into account the causality between different types of crises(banking, currency, sovereign debt). The empirical application shows that the trivariate model improvesforecasts for countries that underwent the three types of crises

This thesis investigates the impact of financial liberalisation policies on finance-growth relationship and financial crises. Analysis of recent trends and economic performance of financially developed and stable economies raises at least two very important questions that seem to have strong analytical connections. The first question is associated with the link between financial development and economic growth and the second question focuses the possible association between the policies of financial liberalisation and financial vulnerability. In this thesis we aim to shed light on some of the aspects that have gained so much attention from academics and policy makers during the last two decades. First we address whether excessive liberalisation has caused financial development to lose its effectiveness in generating economic growth. We employ a dynamic panel data analysis for 88 countries over the period of 1973 to 2005. Our index for the financial sector liberalisation covers seven aspects: credit controls and reserve requirements, interest rate controls, entry barriers, state ownership, policies on securities markets, banking regulations and restrictions on capital market. We use a comprehensive financial development indicator constructed through principal component analysis of five different indicators: bank private credit to GDP ratio, liquid liability to GDP ratio, deposit money bank assets to total bank assets ratio, deposit money bank assets to GDP ratio, and bank credit to bank deposit ratio. The results indicate that the positive effect of financial development on long-run growth continues to decline as the financial sector becomes more liberalised. Our results are robust to changes in the financial development indicators and the dis-aggregation of the financial liberalisation index. Second, we examine the possibility for an optimal sequence of financial sector reforms that may reduce an economy’s vulnerability to financial crises. We construct a distance measure from the countries that followed a more gradual approach and liberalised their capital account at a later stage. Our analysis shows that the experience of the countries that delayed or followed a very gradual approach for the liberalisation of their capital accounts have high level of implications to those countries that allowed for shock approach or liberalised their capital account before bringing reforms in other sectors.

Cette thèse se concentre principalement sur la modélisation des liens de marchés financiers afin de vérifier si le degré de transmission de volatilité et de contagion/fuite vers la qualité a évolué suite aux crises financières. Cette étude utilise les extensions des modèles GARCH multivariés, les tests spécifiques de contagion et les modèles à changements de régimes de Markov. Les résultats obtenus mettent en évidence la transmission de volatilité, la coexistence de contagion et fuite vers la qualité et le rôle des hedge funds dans ces phénomènes. Cette thèse souligne aussi les effets asymétriques des chocs sur la volatilité et sur les corrélations des hedge funds et examine les facteurs déterminants de ces corrélations
In this thesis, we firstly focus on modeling financial market linkages to verify the degree of volatility spillovers, comovement, interdependence and contagion/flight to quality during financial crises. Our estimations require precise modeling of conditional variances-covariances and significant changes in dynamic conditional correlations between indices. As a result, we use some extensions of multivariate GARCH models, specific tests of contagion and Markov regime-switching models. The thesis results reveal clear evidence of volatility spillovers, coexistence of contagion and flight to quality, and the role of hedge funds in these phenomena during the ongoing financial crisis. This thesis further highlights the asymmetry effects of positive and negative shocks on volatility and correlations of hedge fund strategy returns, and explores the determinant factors of these correlations

Les crises financières sont des interruptions fonctionnels extrêmes des systèmes monétaires et financiers. Cette thèse est consacrée à la compréhension des crises financières, leurs coûts, et tente de proposer quelques idées pour la protection contre des crises financières. Chapitre 1 tente d'expliquer pourquoi certains pays bénéficient de plus longues périodes de stabilité entre les crises financières que les autres. Il considère l'impact des politiques macro-prudentielles et réglementaires et introduit le modèle de mélange fini pour surmonter les problèmes économétriques des distributions asymétriques, biaisée, et multimodal. Dans le chapitre 2, une approche pour estimer les coûts de la production réelle des crises financières est proposée. L'approche de la distribution des pertes est utilisée pour étudier les événements de crises financières en termes de fréquence et de gravité. Un modèle théorique est développé dans le chapitre 3, cherchant la taille optimale et la fonction du mécanisme européen de stabilité. Le chapitre conclut que tout à la fois, 'Core' et 'Periphery' Europe ont un intérêt dans l'existence de l'ESM. Les contributions à l'ESM et sa taille varient considérablement en fonction des coûts et des effets de contagion. Les effets d'un outil de prévention des crises et des efforts pour diminuer l'opacité bancaire- des tests de résistance des banques-sont analysés au chapitre 4, pour évaluer dans quelle mesure les tests européens de résistance des banques ont exercé une influence sur les actions les CDS, ainsi que sur des structures de marché
Financial crises are extreme functional interruptions of the financial and monetary systems. This thesis is dedicated to the understanding of financial crises, their costs, and attempts to offer some insights for financial crisis provision. Chapter 1 tries to explain why some countries enjoy longer stability periods between financial crises than others. It considers the impact of macroeconomic and regulatory policies and introduces the Finite Mixture Model to overcome econometric problems of asymmetric, skewed, and multimodal distributions. In Chapter 2, an approach to estimate real output costs of financial crises is proposed. The Loss Distribution Approach is used to study financial crises events in terms of frequency and severity. A theoretical model is developed in Chapter 3, endeavouring the optimal size and the function of the European Stability Mechanism. The Chapter concludes that while both, 'Core' and 'Periphery' Europe have an interest in the existence of the ESM, contributions to the ESM and its size vary substantially depending on costs and spillover effects. The effects of a crisis prevention tool and effort to diminish bank opacity - bank stress tests - are analyzed in Chapter 4, gauging to what extent European bank stress tests exerted an influence on bank's stock and CDS returns, as well as market structures

In this paper, we analyse the relation between financial system and financial crises. Our goal is to find how, on the one hand, changes in the financial system affect the prospects for financial crises and, on the other hand, how the occurrence of financial crises shape the core elements of the financial system. We start by defining the financial crisis from three different perspectives. After it, we present the comprehensive history of financial crises that will allow us to continue by drawing some common patterns that are universal. Universal patterns in crises give us the ground for contemplating on some universal policy responses where we again follow different approaches. Taking into account the specifics of modern times and using the young and promising economy based on the blockchain, we are asking the question is this time different?. Analysis of initial development steps in the digital, trustless world gives us the basis for drawing parallels with the reality and the history. Our results suggest that there are many similarities throughout history and between the real and digital world. Instead of providing an exact answer on the question is this time different we conclude that there is a present strong feeling of Deja vu.

The importance of financial markets in a globalised economy cannot be overstated. An obvious example is the 2008 collapse of Lehman Brothers, the consequences of which were not just confined to the United States but spread to almost all developed economies in the world. On a daily basis movement in the world's stock, bond, commodity and currency markets can be affected by as diverse factors as a revision to the inflation rate in China, an unexpected European Union meeting on the Euro or the announcement of company earnings in the U.S. The link between financial markets and the real economy, the increased volatility in financial markets, and the repercussions of financial crises are issues of great interest to economic agents (policymakers, firms, households) around the world. However, they are of even greater significance to developing nations, as they try to raise their living standards. The research presented in this thesis aims to inform the discussion on the pertinence of financial development for economic growth. Following a brief introduction, Chapter 2 sets the scene by reviewing the neo- classical growth models and endogenous growth theory. The rationale for focusing v - on the role of financial development is discussed next followed by all evaluation of the empirical evidence. Chapter 3 concentrates on the measurement of financial de- velopment. Existing measures are examined and a new measure is introduced using the latest available data for the largest possible number of economies. The principal components methodology, which reduces the dimensionality of the data, is used for the construction of this new measure. This is then used to revisit the empirical relationship between financial development and growth in Chapter 4. The method- ology employed is that of least squares dummy variables (LSDV) estimation, and the issue of potential endogeneity is explored through the use of two-stage ordinary least squares (OLS) and generalised method of moments (GMM). Chapter 5 undertakes a large sample analysis to address the relationship between financial development, and the likelihood of financial crises and chapter 6 summaries the findings from this work and discusses limitations and possible extensions. VI.

Thesis (M.B.A.)--Massachusetts Institute of Technology, Sloan School of Management, 2004.
"June 2004."
Includes bibliographical references (leaves 82-86).
Sovereignty today is conditional, compromised and contractual in ways that require a reassessment of the doctrine of sovereignty in an era of globalization and global capital markets. Taking as a case study Indonesia during its financial crisis in 1997-1998, this thesis explores the sovereign ability of a state such as Indonesia to act effectively and independently in its own economic interest in a crisis. The argument of this thesis that sovereignty today is conditional, compromised and contractual to an unprecedented degree rests on two pillars: first, that a universal awareness of human rights increasingly has imposed a contract on sovereign leaders demanding, as a condition for the right to sovereign non-interference, that they respect the most fundamental human rights of their citizens. Second, as the case of Indonesia will demonstrate, that in the global economy where contagion is a real and dangerous phenomenon, countries must accept IMF conditionality or find themselves cut off not only from assistance from the International Financial Institutions but, more importantly, from private investors whose loss of confidence in an economy can trigger a serious financial crises with severe long-term consequences for the society as a whole.
by Nader Alexander Mousavizadeh.
M.B.A.

Thesis (M.Eng. and S.B.)--Massachusetts Institute of Technology, Dept. of Electrical Engineering and Computer Science, 2003.
Includes bibliographical references (p. 43-44).
This research aims to develop a Markov chain model of the transmission of financial crises. It uses a mathematical programming framework to determine the transition probabilities that describe the crisis dynamics. The framework allows for modelling and comparing various channels of contagion, such as investments and bilateral trade.
by Rishi Kumar.
M.Eng.and S.B.

Thesis (S.M.)--Massachusetts Institute of Technology, Sloan School of Management, Operations Research Center, 2002.
Includes bibliographical references (p. 57-58).
This thesis presents a Markov chain model of the transmission of financial crises. Using bilateral trade data and a measure of exchange market pressure, it develops a method to determine a set of transition probabilities that describe the crisis transmission dynamics. The dynamics are characterized by one month conditional crisis probabilities and the probability of a crisis occurring within one year. Calculations of the transition probabilities for a three country example suggest that minor trading partners can increase the likelihood of a crisis in the home country through their effect on major trading partners.
by Kevin Amonlirdviman.
S.M.

Thesis: Ph. D., Massachusetts Institute of Technology, Department of Electrical Engineering and Computer Science, 2015.
Cataloged from PDF version of thesis.
Includes bibliographical references (pages 97-103).
This thesis contributes to the theoretical literature that studies the macroeconomic implications of financial frictions. It develops frameworks to address different financial market failures, and evaluate preventive policies to mitigate the vulnerability of the economy to costly systemic crises. First, it identifies a credit risk (fire sale) externality that justifies the macroprudential regulation of short-term debt to mitigate the probability of systemic bank runs. Without regulation, banks do not internalize how their funding decisions affects the terms at which other market participants can obtain credit. The formal welfare study conducted, provides a general equilibrium notion of systemic risk that captures both fundamental insolvency and illiquidity risk. It also connects this measure with the optimal Pigouvian (corrective) tax. Second, it shows that liquidity crises may arise as the result of endogenous information panics. It finds that collective ignorance is welfare maximizing but it is fragile, susceptible to self-fulfilling fears about asymmetric information. Adverse selection may thus obtain in equilibrium, sustained by negative aggregate expectations. The mechanism that gives rise to multiple equilibria is robust to the introduction of noisy private signals, and warrants the regulation of information acquisition for rent-seeking (speculative) motives. Finally, it demonstrates the limitations of unconventional credit easing policies to stimulate lending during market-freezes. With inter-temporal investment complementarities, credit to non-financial firms may be curtailed as the result of dynamic coordination failures. Interest rate cuts mitigate coordination risk, but increase the average duration of credit market freezes when the productivity of capital is high. Capital injections in the banking sector, or direct lending to non-financial firms, are completely ineffective, because reductions in deposits from households crowd out government spending. In contrast, government guarantees improve welfare by reducing strategic uncertainty.
by Diego Feijer.
Ph. D.

Inequality rose rapidly in the run up to the 1929 stock market crash and the 2007 financial crisis. Both crises precipitated long and deep recessions. This paper seeks to determine if there is any deeper relationship between inequality and financial stability. The work presents an empirical investigation of the topic and theoretical model of how such a relationship could exist. My original contribution to the literature is threefold: (1) the empirical detection of a small interaction between economic inequality and propensity tofinancial crises, (2) the presentation of a novel measure of financial stability using principal component analysis and its interaction with economic inequality, and (3) the presentation of a novel theoretical model that demonstrates a possible mechanism by which inequality may reduce financial stability.

The thesis presents three papers in macroeconomics and monetary economics with an emphasis on financial instability and crises. The first paper, entitled "Interbank Market Crises and Financial Openness," studies the effect of financial openness on financial stability by extending a closed-economy DSGE model (Boissay, Collard and Smets, 2015) to an open economy in which banks are allowed to invest abroad. Financial internationalisation in the form of outward banking flows alters the behaviour of the economy in the run up to a typical interbank crisis, reducing the role played by domestic credit build ups. Prior to an interbank crisis, the level of assets typically builds up in an economy without access to international investment opportunities. In contrast, financial openness attenuates the build up of assets during productivity booms, which reduces the likelihood of financial overheating resulting in a banking crisis once productivity reverts to trend. Simulations of the model show that the open economy would generally experience fewer banking crises in the long run compared to an economy blocked from investing abroad. This finding may not obtain in the short run, however, should the economy be subject to large negative productivity shocks consequent upon a financial opening up to the external domain. The second paper, entitled "Unconventional Monetary Policy and Asset Allocation of International Mutual Funds," a joint work with Gino Cenedese and Menno Middeldorp (both at the Bank of England), analyses the spillovers of unconventional monetary policy from the US to the Rest of the World. Using panel regressions on a fund-level data-set of globally domiciled mutual funds, the study examines the degree to which the operations and surprises of US unconventional monetary policy prompt mutual fund managers to change their portfolio country weightings. Our study permits an analysis of the portfolio choice of mutual fund managers, as differentiated from the portfolio rebalancing behaviour of their underlying investors. It allows for a quantitative examination as to whether and to what extent fund managers undo or exacerbate the allocation decisions by their respective underlying investors. Unconventional monetary policy by the US Federal Reserve is found to induce fund managers to reduce their portfolio exposure to the US whilst increasing it to other countries in the Rest of the World. Specifically, the Fed's purchases of Treasury securities trigger portfolio rebalancing in equity funds, while its acquisition of mortgage backed securities and agency debt has a minimal effect on equity and bond fund portfolio allocations. Fed policy surprises do affect the portfolio allocations of equity funds. The main results continue to hold in a number of robustness checks. An extension of the study examines portfolio rebalancing effects of policy surprises by three other major monetary authorities, the ECB, BoJ and BoE. The main focus of the paper, however, is on the broader effects of US unconventional monetary policy on the asset allocation of international mutual funds. The third paper, entitled "Sovereign Debt Negotiations as a Macroeconomic Game with Strategic Interactions among Players," aims to show that existing methods analysing games with more than two players can be usefully applied to macroeconomic games involving strategic interactions among three or more players. This is shown in the context of sovereign refinancing negotiations which are modelled as a bargaining game between three players: a debtor country in need of finance (player 1); its creditors from the international official-sector (player 2); and its foreign private-sector creditors in the form of international banks (player 3). The presence of a third player has important effects on the distribution of the gains from trade and the stability of the game if one allows for the possibility that any two players may form a coalition against another player. After deriving these general results, the model is applied to the Greek sovereign debt crisis to provide an economic application and to show that the framework can be applied to a wide range of other macroeconomic games.

Since the Great Depression in 1929-1939, four major far-reaching financial crises took place: the collapse of Japanese asset price bubble in the 1990s, 1997 Asia Financial Crisis, 2007 US sub-prime mortgage crisis and the subsequent global economic recession, and the on-going European sovereign debt crisis, together with other minor crises in specific regions (for example, Icelandic Financial Crisis from 2008), played havoc with not only economy but towards every aspect of the society, and became a focus in academia as well. Many efforts have been paid to find out the primary reasons so that specific measures can be taken to avoid the recurrence of similar crises. This dissertation attempts to reveal the relationship between financial crises and land / real estate sector, which discusses the process that a real estate crisis turns into a financial crisis, and analyses a common phenomenon that almost all recent financial crises usually began from the crises in real estate sector. It concludes the common features in these crises with a flow from a real estate bubble towards a financial crisis, that the misconduct of government in real estate sector as well as the over-blown market confidence would usually be the original sin of an economic failure. This study takes both qualitative and quantitative approaches to research this topic by studying common features in recent financial crises. Review of historical crisis shall focus on real estate aspect, and among the several most influential and recent crises it will place emphasis on the bubble in 1990s’ Japan. In addition, this dissertation also takes a look at China’s current situation and suggest possible problems by comparing with historical experiences, particularly with the period of Japanese asset bubble.
published_or_final_version
China Development Studies
Master
Master of Arts in China Development Studies

Cette thèse étudie deux phénomènes qui ont impacté la trajectoire de développement de plusieurs pays dans le monde : les crises financières et les poussées de croissance. La première partie de cette thèse, composée de deux chapitres (chapitres 1 et 2), analyse les coûts commerciaux et les contractions économiques associés aux crises financières dans les pays en développement et émergents. Elle examine également les canaux de transmission de ces effets et le rôle de l'espace budgétaire dans la relance économique d'après crise. La seconde partie, elle aussi composée de deux chapitres (chapitres 3 et 4), analyse les déterminants des poussées de croissance et le rôle du Fonds Monétaire International dans leur initiation. Cette thèse contribue significativement à la littérature existante sur ces deux phénomènes. Le chapitre 2 étudie les effets des crises de la dette, bancaire et de change sur le commerce des biens agricoles, miniers, manufacturiers et des services dans 41 pays émergents sur la période allant de 1980 à 2018. Il révèle que les crises génèrent une baisse prononcée et persistante du commerce international (exportations et importations), portée principalement par la contraction du commerce des biens manufacturiers, et dans une certaine mesure par la baisse du commerce des services, des produits miniers, alors que les biens agricoles apparaissent plus résilients, notamment à la suite des crises de la dette. En outre, la baisse du commerce est beaucoup plus accentuée pour les crises combinées. Les crises induisent cette baisse à travers des effets de composition (la structure et la diversification du commerce), de demande (baisse de la demande de biens et services), et d'offre (baisse de l'offre du crédit, des flux de capitaux entrants et du développement financier). Le chapitre 3 étudie le rôle de l'espace budgétaire sur les effets récessifs des crises financières et la politique de relance économique dans 35 pays en développement et 56 pays émergents sur la période 1985-2017. Il montre que la disponibilité de l'espace budgétaire avant la crise génère une dualité. Dans les pays qui ont un espace budgétaire suffisant, les coûts des crises sont plus faibles voir nuls et les gouvernements mènent des politiques de relance, supportées par une hausse de la consommation, des investissements et des flux nets de capitaux. Dans les pays avec un espace budgétaire faible, les gouvernements renoncent à leurs politiques de relance et mènent des politiques de consolidations budgétaires pour accroître la soutenabilité des finances publiques ; dans ce cas, la consommation, les investissements et les flux nets de capitaux baissent, et la récession est accentuée et persistante. Le chapitre 4 s'intéresse aux déterminants des poussées de croissance économique. Il identifie 132 épisodes de croissance soutenue dans 117 pays sur la période 1980-2010. Il montre que les améliorations de la stabilité macroéconomique et des conditions externes et dotations en ressources augmentent plus la probabilité des poussées de croissance. Elles sont suivies par les vagues de réformes structurelles, les gains d'investissements, de travail et de productivité, l'amélioration de la diversification et la qualité du commerce, et enfin par l'amélioration des facteurs institutionnels. De plus, il montre que la probabilité d'avoir des poussées de croissance augmente significativement quand les améliorations de la stabilité macroéconomique et des conditions externes et dotations en ressources interviennent, d'une part, et les autres facteurs, d'autre part. Ces deux premiers facteurs apparaissent donc comme des facteurs dominants. Le chapitre 5 évalue le rôle du FMI dans l'initiation des périodes de croissance soutenue et contribue à la littérature très controversée sur l'efficacité des politiques du FMI. Il montre que le FMI a significativement contribué à générer des périodes de croissance soutenue, notamment à travers ses programmes PRGT. (...)
This dissertation studies two phenomena that have been widespread in many countries of the world through history and have huge implications for development, namely the financial crises and growth surges. The first part, comprising two chapters (chapters 2 and 3), analyzes the sectoral trade and output costs of financial crises in the context of developing and emerging countries. It also examines the channels by which financial crises affect trade and output and assess the role of fiscal policy and space to alleviate the output costs. The second part, comprising also two chapters (chapters 4 and 5) turns our attention to the determinants of growth surges in countries and the International Monetary Fund's role in igniting growth surges. Chapter 2 studies the response of different types of trade (i.e. agricultural, mining, and manufactured goods, and services) following various types of financial crises (i.e. debt, banking, and currency crises) in 41 emerging countries over the period 1980-2018. It reveals that the collapse of total trade in the aftermath of financial crises is long-lasting and mainly driven by the fall of manufacturing trade. Also, trade in both mining goods and services declines following several types of financial crises, while trade in agricultural goods seems to benefit from a possible substitution effect particularly following debt crises. These trade costs are reinforced for combined crises and can be explained by compositional and structural (trade structure and diversification), demand-side (fall in demand for goods and services), and supply-side channels (disruption of financial development, fall of net capital inflows and deterioration of credit ratings). Chapter 3 studies how fiscal policy space shapes the dynamics of output losses in the aftermath of financial crises and normal recessions in a sample of 35 developing and 56 emerging countries over the period 1985-2017. It reveals that the availability of fiscal space in the aftermath of financial crises and normal recessions generates a mixed fiscal environment with different output losses of shocks. In countries with enough fiscal space, governments can enact credible fiscal policy expansion by increasing their deficit and using their fiscal space to alleviate the costs of financial crises and normal recessions. In such a situation, private consumption and investment, as well as net capital inflows, increase, which favors a rapid recovery. In countries with limited fiscal space, the story is different and painful; governments immediately trade output stabilization goals out to address the debt sustainability issues while implementing fiscal consolidations, which deepens the recessionary forces. Besides, in these countries, private consumption and investment, as well as net capital inflows, are depressed, and recovery, if any, is a distant and uncertain prospect. Chapter 4 studies the determinants of growth surges. It identifies 132 episodes of growth surges in 117 countries over the period 1980-2010 and finds that improvements in macroeconomic stability and external factors and endowments favor a higher probability of growth surge. They are followed by structural reforms, investments, labor and productivity, trade diversification and quality, and lastly by institutions. Besides, it shows that countries can maximize the likelihood of igniting growth surges if they jointly achieve significant improvements in macroeconomic stability and external conditions and endowments, on one hand, and other determinants, on the other hand. Moreover, significant changes in macroeconomic stability, and to some extent, external factors and endowments may be considered as dominant strategies to ignite a growth surge, as no improvements in these determinants, generally constraint the other determinants to have a smaller effect on growth surges. Chapter 5 engages and contributes to the debate on the effectiveness of the IMF in promoting growth. (...)

L’objectif de cette thèse est d’étudier les divers aspects de la crise financière 2007-09. Dans l’ensemble, les deux types d’objectifs sont poursuivis dans cette thèse: le premier objectif est de déchiffrer les liaisons entre les différents marchés boursiers, immobiliers et pétroliers afin d’évaluer les retombées du rendement et de la volatilité. L’accent dans ce champ est mis sur le niveau d’intégration entre les marchés pendant différents périodes de temps y compris la crise. Ce domaine est examiné par le développement de trois essais distincts. Le premier essai examine la déclaration du gouvernement Russe affirmant que ce sont les chocs initiés par les marchés étrangers qui ont été essentiellement responsables de la panique sur leur marché boursier pendant la période Septembre - Octobre 2008. En utilisant l’approche de la contagion financière, les résultats indiquent que le marché boursier Russe est intégré faiblement avec les marchés Américain et Européen ce qui met à l’écart l’affirmation du gouvernement. Les résultats de la comparaison bivariée des marchés montrent que le marché Russe émet un niveau élevé des chocs en affectant la structure de corrélation entre la Russie et les marchés étrangers tandis que l’inverse est vrai dans le cas des retombées de la volatilité. Il est conclu que les gouvernements ne devraient pas utiliser la justification des chocs étrangers qui affectent les marchés locaux pendant la crise globale. Comme dans l’analyse précédente, nous examinons la transmission des chocs et de la volatilité sur les marchés des sociétés d’investissements immobiliers cotées (SIIC). Etant donné que la loi exige des SIIC de consacrer une grande partie de leurs investissements dans les actifs immobiliers, le rôle des SIIC dans la propagation de la crise hypothécaire des subprimes à travers le globe a été évalué. L’analyse préliminaire démontre que pendant la crise tous les marchés possèdent entre eux des liens de causalité dans le sens de Granger. Ce résultat est en accord avec le point de vue largement répandu que les marchés boursiers se comportent de la même manière pendant la crise globale. Ensuite l’intégration entre les SIIC américaines (USREITs) et les SIIC globales et le S&P500 a été examiné. Les résultats indiquent que les SIIC américaines sont faiblement intégrées avec les SIIC globales impliquant un niveau faible des retombées bidirectionnelles du choc et de la volatilité tandis que l’inverse est vrai dans le cas des SIIC américaines (USREITs) - S&P500. Enfin, l’intégration entre le S&P500 et les SIIC globales a été exploré. Les résultats suggèrent une faible intégration entre le S&P500 et les SIIC globales. Les chocs sont essentiellement transmis du S&P500 vers les SIIC globales. D’une manière générale, l’étude amène à la conclusion que ni les SIIC américaines ni le S&P500 ne peuvent pas créer une panique plus grande sur les marchés des SIIC globales pendant la crise. Ces liens faibles indiquent également les avantages de la diversification d’un portefeuille.En étudiant la crise au niveau suivant, nous analysons la relation à court ainsi qu’à long terme entre le prix du pétrole brut et les marchés boursiers pour le Brésil, la Russie, l’Inde et la Chine (BRIC) dans le cadre des modèles structurels contraints. Nos conclusions indiquent que les marchés boursiers du BRIC suivent dans certaine mesure l’hypothèse de l’efficience des marchés comme dans le cas d’un pays importateur du pétrole un choc positif de prix du pétrole entraîne une chute du marché boursier et l’inverse est vrai pour tous les pays exportateurs du pétrole. Les deux comportements importants ont été identifiés qui sont liés au taux d’intérêt à court terme et à la production industrielle. La montée des prix du pétrole engendre l’inflation qui est enrayée par une hausse du taux d’intérêt à court terme. En même temps, la production industrielle a tendance à s’accroître en termes réels au lieu de diminuer vu le choc des prix du pétrole (une hausse des prix du pétrole). Ce résultat peut être imputé à la couverture du risque d’une hausse des prix du pétrole avec la livraison physique. Dès que le contrat de couverture commence à expirer après 30, 90 ou 180 jours l’impact des prix du pétrole commence à réduire la production industrielle. Le deuxième objectif de la thèse est d’étudier l’intervention gouvernementale particulièrement sur les marchés boursiers et dans l’économie en général. D’un point de vue boursier, nous analysons le cas de l’intervention répétée du gouvernement Russe sur ses marchés boursiers nationaux pendant la fin d’année 2008. En utilisant la méthodologie des études d’événements, les résultats sont peu concluants sur l’efficacité de l’intervention gouvernementale pour protéger le marché boursier contre des chocs financiers extérieurs. Ainsi l’étude préconise aux gouvernements de ne pas intervenir pendant la crise des marchés boursiers.En étudiant le cas de l’économie en général, une nouvelle idée a été développée et lancée concernant l’intervention de la banque centrale pour contrecarrer une Bulle des Prix des Actifs (BPA). Nous avons détecté différents problèmes dans la théorie économique concernant l’intervention de la banque centrale sur le marché monétaire en cas d’apparition d’une BPA comme par exemple, - un décalage dans le temps ne peut pas avoir une incidence sur le secteur formant une bulle spéculative tout seul ainsi que l’inadéquation des canaux traditionnels des prêts bancaires. Pour faire face à ces problèmes l’étude fait avancer l’idée d’une intervention réglementaire basée sur certaines suppositions classiques. L’idée implique que contrairement à l’intervention traditionnelle de la politique monétaire la banque centrale devrait imposer aux institutions de crédit des limites d’exposition au risque de crédit pour chaque secteur. Ces limites devraient être imposées une fois que la banque centrale découvre une hausse anormale des prix dans un secteur économique donné. Nos résultats préliminaires suggèrent que l’idée d’une intervention réglementaire a du potentiel de contrecarrer la BPA
The objective of the dissertation is to study various aspects of financial crisis 2007-09. Overall there are two kinds of objectives that are pursued in this dissertation: the first objective is to decipher the linkages between different stock markets, real estate markets and oil markets in order to assess the return and volatility spillover effects. The focus in this area is on the level of integration among the markets during different periods of time including crisis. This area is investigated through developing three separate essays. The first essay tests the Russian government claim that shocks originating in foreign markets were primarily responsible for its stock market panic during September-October 2008. Using financial contagion framework, the results indicate that the Russian stock market is weakly integrated with the US and European market in turn discarding the government claim. In bivariate market comparison, the results indicate that Russian market emits high level of shocks affecting the correlation structure between Russia and foreign markets while the reverse is true in case of volatility spillover effects. It is concluded that the governments should not use the justification of foreign shocks affecting the local markets during global crisis. Akin to foregoing analysis, we look at the transmission of shock and volatility in the Real Estate Investment Trust (REIT) markets. Since by law REITs are required to invest a large portion of their investments in real estate, the role of REITs in spreading the subprime mortgage crisis across the globe has been assessed. The initial analysis indicates that during crisis all markets are granger causing each other. The result is in compliance with the widely held view that the stock markets behave alike during global crisis. Next the integration between USREITs and global REITs and S&P500 has been examined. The results indicate USREITs is weakly integrated with the global REITs implying low level of bidirectional shock and volatility spillover while the reverse is true in case of USREITs- S&P500. Finally the integration between S&P500 and global REITs has been explored. The results suggest weak integration between S&P500 and global REITs. The shocks are mainly transmitted from S&P500 to global REITs. Over all the study concludes that neither USREITs nor S&P500 can create a wider panic in the global REIT markets during crisis. These weak linkages points towards portfolio diversification benefits as well.Studying the crisis at the next level, we analyze short-run as well as long-run relationship between crude oil price and stock markets for Brazil, Russia, India and China (BRIC) within a constrained structural modeling framework. Our findings indicate that BRIC stock markets to certain extent follow the efficient market hypothesis such that in case of oil importing country a positive oil price shock cause the stock market to fall and the reverse is true for an oil exporting country. Two important behaviors have been identified related to short-run interest rate and industrial production. The rise in oil prices generate inflation which is countered by increase in short-run interest rate. At the same time, industrial production tends to increase in real terms instead of decreasing in view of oil price shock (increase in oil price). The result can be attributed to hedging oil price risk with physical delivery. Once the hedge contract starts expiring after 30, 90 or 180 days the impact of oil price starts reducing the industrial production. The second objective of the dissertation is to study the government intervention specifically in the stock markets and generally in the economy. From stock market perspective, we analyze the case of Russian government repeated intervention in its national stock markets during late 2008. Using event-study methodology the findings indicate weak evidence that government intervention can in fact prevent stock market from external financial shocks. The study strongly recommends that the governments should not intervene during stock market crisis.Studying the case of general economy, a new idea has been developed and floated regarding central bank’s intervention directed to preempt an Asset Price Bubble (APB). The economic theory regarding central bank monetary policy intervention has been found to suffer from various problems in the event an APB occurs, such as, -time lag, -cannot affect bubbled sector alone as well as –irrelevance of traditional bank-lending channel. To deal with these issues the study brings forward the idea of regulatory intervention based on certain text book assumptions. The idea entails that contrary to traditional monetary policy intervention, the central bank should impose credit exposure limits for a particular sector on credit institutions. These limits should be imposed once the central bank finds out the abnormal increase in prices in a given sector of the economy. Our preliminary findings suggest that idea of regulatory intervention has the potential to preempt the APB

Church financial leaders were affected by the economic crisis after the 2008 recession. In a 2009 group study conducted nationwide with church financial leaders, 57% stated that the economy had a negative effect on their church budgets. The purpose of this qualitative multiple case study was to explore successful strategies that some church financial leaders used to ensure financial sustainability during economic crises. Resource dependence theory was the conceptual framework. Data were collected from 6 church financial leaders at 4 churches in the northeastern region in the United States; church financial leaders were selected through purposeful sampling to participate in semistructured interviews. Data were also collected from church documents, such as financial records and budget statements. These data were analyzed to identify emerging themes using Yin’s 5-phase process: compiling, disassembling, reassembling (and arraying), interpreting, and concluding. The 3 themes that emerged from the data analysis were (a) provide strategies to acquire external resources, (b) specify plans to establish internal strategic factors, and (c) provide strategies to improve financial and strategic management. Findings and recommendations of the study could contribute to positive social change by providing church financial leaders with successful strategies to ensure financial sustainability during economic crises and by increasing church revenue and improving social programs, which help improve the needs of staff, members, and people in the community.

Reproduction de : Thèse de doctorat : Philosophy in economics : Lyon 2 : 2004. Reproduction de : Ph. D. : Philosophy in economics : University of Delaware : 2004.
Titre provenant de l'écran-titre. Bibliogr.

Mestrado em Contabilidade, Fiscalidade e Finanças Empresariais
O objectivo deste trabalho é estudar o fenómeno de globalização e a sua relação íntima com as crises que se geram. Neste caso específico, pretende-se estudar a evolução do fenómeno, que é a globalização e a sua relação intrínseca com a crise global mais recente (2007). A metodologia empregue integra consultas de artigos científicos, livros, jornais, revistas, etc, que permitam efectuar o estudo referido. A ausência de regulação e supervisão, por parte de entidades supranacionais e reguladoras potenciou, de forma decisiva, a rápida evolução da crise. Por fim, a preocupação necessária com o meio ambiente, num contexto de crise não é devidamente relevada, devido às pressões por parte dos diversos países (um acordo global é difícil de alcançar). Porém, um dos aspectos mais importantes a sublinhar perante a crise, é o facto de crises financeiras graves não serem arcaicas e não se encontrarem só na história passada. Esta situação reforça a necessidade de existência de uma regulação e supervisão assertiva, que acompanhe as evoluções dos mercados de forma a minimizar as probabilidades de práticas engenharia e criatividade financeira nefastas, protegendo a humanidade de crises semelhantes, no futuro. Finalmente importa acrescentar que a duração, profundidade e implicações desta crise ainda não são passíveis de comentar, pelo simples facto de ainda não se ter saído da mesma.
The objective of this work is the study of the phenomena of globalization and its intimate relation with the crisis which are generated. In this specific case, the evolution of the phenomena of globalization and its inherent relation with the most recent global crisis will be studied (2007). The methodology used includes consultation of scientific articles, books, newspapers, magazines, etc, which help research the above-mentioned topic. The lack of regulation and supervision by supranational and regulating entities was crucial to give rise to the rapid evolution of the crisis. Finally, the necessary concern with the environment, in a context of crisis is not focused enough due to pressure from various countries (it's difficult to reach a global compromise). However, one of the most important aspects to underline about the crisis is the fact that financial crisis are not archaic and they did not happen only in the past. This situation reinforces the need of regulation and assertive supervision which follow the evolution of the markets in order to minimize the chances of baleful experiences of financial engineering and creativity, and in order to protect the humanity from similar crisis in the future. Finally, one should add that the duration, depth and implications of this crisis cannot be commented, because it hasn't been solved yet.

This dissertation is a reaction to the public policy failures that culminated in, prolonged, and exacerbated the 2008 financial crisis in the United States. Between the winter of 2007 and the summer of 2009, the US private economy contracted severely. As of the summer of 2014, after a five-year recovery period, employment losses have been restored, but employment growth has not returned the US to its pre-crisis trend. This outcome is not the effect of a transient deviation that regularly happens as the economy moves through the business cycle; nor should the troubles in the US financial sector appear historically anomalous. The world's premier capitalist economy is prone to bouts of financial dysfunction. This feature is not simply a matter of the irrational exuberance of its investors, the euphoria of its speculators, or the folly of its bankers. I argue here that political-economic choices structure the distribution of financial crises at multiple scales. Broadly speaking, I find that the effects of financial crises on growth are uneven, affected by institutional structure, and carry important ramifications for the direction of change in the provision of financial services and its regulatory system. The thesis features four empirical chapters. In the first, I perform an econometric analysis of the effects of a wide variety of financial crises on employment growth by economic sector, for a sample of countries over a thirty-year period. The final three chapters are a case study of the US experience with the 2008 banking crisis and asset market crash, focusing on the role of the banking regulatory system in allocating losses over territory, on the economic performance of metropolitan areas, and on the distribution of losses within the financial sector in two major financial centers, Los Angeles and San Francisco. I reach my conclusions by using standard methodological tools within the sub-field of economic-geography and conceptual insights from the sub-field of financial-geography.

This study is a theoretical and historical study of the combined issues of destabilizing speculation and financial crises. First, we critically examine the orthodox mathematical theory of a speculative bubble. This model, we determine, is inadequate for the empirical purposes of identifying and fully explaining a bubble. Next, we examine the 19th-century British Classical view of the mania-crisis phenomenon and compare it with some of the leading early 20th-century views. We find that the 20th-century writers maintained a distinctly Classical view of the issues and that this view is fundamentally different from the orthodox mathematical theory. We also find that the Classical theory, though richer than the mathematical theory, inadequately explains the phenomenon. We then turn to a comparative history of selected mania-crisis episodes. From a detailed analysis of these episodes, we establish those stylized facts which characterize unstable periods of financial activity. We complete the study with a new perspective on financial instability.

Following the 1997 Asian Crisis, a number of economies have been burdened with so-called Twin Crises, facing both vulnerable exchange rates and a distressed financial sector. The three papers in this thesis examine the resolution of a twin crisis in one such country - Indonesia. In debt overhang and exchange rate collapse, I adopt the simplest representation of the economy and the Asian crisis. The model is a modified Hecksher-Ohlin framework with labour as the sole domestic factor. The crisis is triggered by a terms of trade shock. The analysis implies that workers have already suffered a wealth loss in the form of a wage cut. If they are inclined to pay all the overhang, they will take another cut - a large one - due to the so-called overhang multiplier. In Indonesian cronies' tardy crisis resolution skills, both the underlying model and the description of the crisis are made more realistic. The model has another domestic factor added to allow for the existence of domestic capitalists. The crisis is triggered by two additional factors; a loss of confidence by foreign investors and an end to a domestic subsidy on foreign capital. Until agreement is reached on the overhang, the economy suffers so-called corporate decay. I introduce the cronies, and show that it may be optimal for them to stall agreement, even if there is perfect information. Contrary to conventional wisdom, bankruptcy reforms do not necessarily hasten agreement, though they do improve the payoffs to the international creditors. In debt forgiveness, I examine the pessimistic scenario that Indonesia becomes like a Highly Indebted Poor Country (HIPC), so that all the issues related to debt forgiveness become relevant. I improve a contract arising from a workhorse model of debt forgiveness, showing a better way to provide reform incentives for countries heavily in debt.

This thesis demonstrates that consumer leverage can contribute to financial crises such as the subprime mortgage crisis characterised by increased bankruptcy prospects and tightened credit access. A recession may follow even when the leveraged sector is not a production sector and can be triggered by seeming positive events such as a technological innovation and a relaxation of borrowing conditions. The first preliminary chapter updates the Bernanke, Gertler and Gilchrist (1999) approach with financial frictions in the production sector to a two-sector model with consumption and housing. It shows that credit frictions in the capital financing decisions of housing firms are not sufficient to capture the negative consumer experience with falling housing prices and relaxed credit access during the recession. The second chapter brings the model closer to the subprime mortgage crisis by shifting credit constraints to the consumer mortgage market. Increased supply of houses lowers asset prices and reduces the value of the real estate collateral used in the mortgage which in turn worsens the leverage of indebted consumers. A relaxation of borrowing conditions turns credit-constrained households into a potential source of disturbances themselves when market optimism allows them to raise their leverage with little downpayment. Both cases demonstrate that although households are not production agents, their worsening debt levels can trigger a lasting financial downturn. The third chapter develops a chained mortgage contracts model where both homeowner consumers and the financial institutions that securitize their mortgage loan are credit-constrained. Adding credit constraints to the financial sector that provides housing mortgages creates opportunities for risk sharing where banks shift some of the downturn onto indebted consumers in order to hasten their own recovery. This consequence is especially evident in the case of relaxed credit access for banks. Financial institutions repair their debt position relatively fast at the expense of consumers whose borrowing ability is squeezed for a long period despite the fact that they may not be the source of the disturbance. The result mirrors the recent subprime mortgage crisis characterised by a sharp but brief decline for banks and a protracted recovery for mortgaged households.

Cette thèse étudie le comportement des investisseurs au travers de leur performance et de leurs attentes durant les crises financières de 2008-2011 et de leurs croyances. Elle se compose de trois chapitres. Dans le premier chapitre, nous faisons une revue de la littérature existante sur la performance des investisseurs individuels, leur biais comportementaux et leurs préférences. Nous montrons les principales lacunes en termes de performance des investisseurs individuels ainsi que leurs principaux biais comportementaux. Nous mettons également en lumière l’apport des neurosciences dans la compréhension du comportement des investisseurs individuels. Dans le deuxième chapitre, nous étudions l’impact des crises financières de 2008-2011 sur la performance des investisseurs individuels et leurs attentes à l’égard de leurs intermédiaires financiers dans quatre différents pays : Allemagne, Belgique, Luxembourg, France. Nous établissons également une comparaison en fonction du niveau de richesse des investisseurs à l’intérieur de chaque pays mais aussi globalement. Nos données proviennent de questionnaires distribués à des gestionnaires d’actifs dans les plus grandes banques des pays pris en considération ainsi que des données de marché historiques pour chacun de ces pays. Nous montrons que les investisseurs les plus fortunés sont les moins réfractaires à la prise de risque que ce soit avant ou après les crises financières, quel que soit le pays pris en considération. Nous remarquons aussi que ces derniers adoptent les stratégies d’investissement les moins conservatrices. Enfin nous notons un important changement des attentes des investisseurs par rapport à leurs intermédiaires financiers, demandant plus de transparence et un meilleur service clientèle, quel que soit le niveau de richesse. Nous montrons enfin que ces attentes peuvent être contradictoires notamment chez les investisseurs les moins fortunés. Dans le troisième chapitre, nous fournissons un test expérimental sur la formation des croyances chez les investisseurs individuels d’après le modèle de Brunnermeier et Parker (2005). Nous utilisons à cet effet une expérimentation avec deux loteries identiques exceptées leur skewness. Nous montrons que les participants à cette expérimentation ressentent des émotions par anticipation une fois qu’ils ont pris connaissance de la loterie à laquelle ils vont jouer. Ces émotions se forment à partir de la deuxième minute d’attente et restent stables jusqu’à ce qu’ils prennent connaissance de leurs gains. Par ailleurs, ces émotions par anticipation sont aussi fortes que celles ressenties une fois leurs gains connus. Enfin nous montrons que les sujets participants à la loterie avec une skewness positive présente moins de capacité d’auto régulation que les autres sujets. Les émotions qu’ils ressentent sont plus fortes et plus persistantes que chez les autres
This thesis studies the investors behaviour through their performance and their expectations during the 2008-2011 financial crises as well as their beliefs formation. It consists of three chapters. In the first chapter, we review the literature on individual investors performance, their behavioural biases and their preferences. We highlight their lack of performance on financial markets and their main behavioural biases. We also exhibit the contribution of neurosciences in the understanding of the investor’s brain. In the second chapter, we study the impacts of the 2008-2011 financial crises on individual investors returns and their expectations towards their financial intermediaries in four different countries: Belgium, France, Germany, Luxembourg. We also consider investors differences regarding their endowment, inside each country and globally. Our dataset is extracted from questionnaires administered to asset managers in the main banks in the countries considered as well as historical market data for each country. We show that wealthier investors are less risk averse and their level of risk aversion has not changed with financial crises whatever the country considered. Furthermore, these wealthier investors adopt less conservative investment strategies than retail ones. We notice an important shift regarding the investors’ expectations towards their financial intermediaries, since the crises they ask for more transparency and more client services. We also show that these expectations may be contradictory a bit in retail investors. In the third chapter, we provide an experimental test of investors beliefs formations according to Brunnermeier and Parker model (2005). For this purpose, we use a two identical lotteries design except in terms of skewness. We show that participants to this experiment feel anticipatory emotions once they have learned the lottery they will play. These emotions are formed from the second waiting minute and remain stable until they learn their gains. Besides, anticipatory emotions are as strong as emotions felt once the payoffs known. Finally, we demonstrate that subjects participating in the positively skewed lottery exhibit less self-regulation than other subjects. Hence, their emotions are stronger and more persistent

Purpose - The study sought to examine the liquidity linkages between the South African bond and equity markets before the global financial crisis in 2008. Design/methodology/approach: The window of observation covered the period January 2000 to September 2008. In order to ensure robustness in the estimation, the study used foreign participation in the various markets as an additional measure of liquidity. The other liquidity measures considered in the study were volume and value traded of the various securities respectively. Time series modeling techniques were used in the estimation. An unrestricted vector autoregressive (VAR) model was estimated following which the standard innovation accounting techniques, impulse response functions and forecast error variance decompositions were applied. In the empirical analysis, the Granger-causality between the two markets was also used. Findings - While all the liquidity measures suggest the existence of linkages between the bond and equity markets, the direction of causality was found to be unidirectional from equity to the bond market using the volume and value measures. On the other hand, the foreign participation measure of liquidity suggests bi-directional causality. The study also provides evidence of long run relationship between key macroeconomic variables such as inflation, exchange rate and interest rate on one hand and liquidity in the debt and equity markets on the other. As empirical findings indicates that the linkages in liquidity between these markets positive, this consistent with studies conducted by Chordia et al (2003 & 2005) and Engsted and Tanggaard (2000) who found the relationship was a positive one. When volumes of trade and trade values, the study find evidence on uni-directional causality and strong bi-directional causality is evidence when foreign investor participation is used as a liquidity measure. In summary, there is a strong evidence liquidity linkage between the bond and equity market from the empirical results.

Au printemps de 1996, la Bulgarie a traversé une crise financière très grave, combinant panique bancaire et spéculation contre la monnaie nationale, le Lev. La crise a culminé en février 1997, avec une courte période d'hyperinflation et une crise politique entraînant la chute du gouvernement. Cette thèse a pour objet d'expliquer la crise bulgare et d'examiner en particulier, les relations entre la crise bancaire et la crise monétaire. Quatre approches sont utilisées à cette fin : 1) une présentation des modèles théoriques de crises financières, et notamment des modèles dits de "crises jumelles" ; 2) une comparaison de la crise bulgare avec celle d'autres économies en transition ; 3) une chronologie détaillée des crises bancaire et monétaire en Bulgarie ; et 4) l'estimation d'un modèle unifié de substitution de devises et d'actifs, avant et pendant la crise. Les quatre approches produisent des conclusions similaires, et suggèrent la prééminence de la crise bancaire sur la crise de change. La crise bancaire aurait entraîné des dépenses fiscales très lourdes, un gonflement de la dette publique et la crainte de voir le gouvernement recourir à la planche à billets, comme dans les modèles "classiques" de crises financières. Il semblerait aussi que le niveau des réserves de change de la banque centrale ait joué un rôle prépondérant dans la formation des anticipations des ménages. L'analyse empirique présentée dans le dernier chapitre mesure l'impact des anticipations de change sur la substitution des devises et tente de quantifier l'effet des variations des réserves de change sur la composition des portefeuilles d'actifs.

This thesis investigates in depth several aspects of economic activity through an aggregated metric, which aims to account for the inherent distressful characteristics of the financial system. This work is strongly motivated by the extraordinary evolution of the financial and economic landscape and the induced fragility within its foundations, especially during the last years. Chapter 1 provides an overview of the theoretical considerations on the topics discussed in this thesis. Additionally, the motivations and a brief presentation of the thesis contents are provided. Chapter 2 empirically investigates the leading indicator properties of the aggregate systemic risk indices to the real economy. In order to do that, I construct a series of financial stress indices for 25 countries. The countries are bundled into three groups (OECD, Asian, Latin American countries) and, apart from the national indexes, regional and a global index are computed. In order to do this, a number of variables from the banking sector, financial and capital markets and the foreign exchange market of each country, have been used for the implementation of these indicators. The indexes are successful early warning indicators, accurately capturing previous financial stress periods, while the financial turmoil of 2007-2009 is, without doubt, the most severe one. Forecasting exercises indicate the improved ability of indices-enhanced models to successfully predict the evolution of economic activity. Chapter 3 investigates the interrelations and financial interconnections of the Eurozone economies. Financial stress indices are constructed for, both, countries and their four most important financial markets (banking, money, equity and bond). Using VAR models, a number of innovative conclusions are reached, such that: 1) not all peripheral countries (and especially Greece and Portugal) should be blamed for the crisis exacerbation 2) there is clear evidence of stronger interdependencies between banking and bond markets and 3) a degree of segregation (in terms of financial stress interdependence) between peripheral and core Eurozone economies. The last essay aims to the deeper empirical investigation of potential crosscovariances and spillover effects between the Eurozone economies and financial markets. Full, asymmetric GARCH-BEKK models are estimated, both on a market (or 3 country) wide level and, then, with the full spectrum of Euro Area markets. In other words, we complete an empirical examination, both “within” and “between” Eurozone economies and markets. The results reveal a number of interesting insights: on country wide level, there is strong volatility transmission channel from the most heavily hit, from the crisis, economies towards the rest. Additionally, the crucial importance and role on this transmission from the banking and bond markets is underlined. Contrary to common wisdom, Greece is not the main propagator of volatility uncertainty, while it is between the most important receivers of volatility risk. The same holds for other peripheral economies, while the importance of money market is also evident in the large, “between”, empirical approach.

This thesis describes a longitudinal study of mainstream financial reporting in the United States (US), the United Kingdom (UK), and Australia during three financial crises from the 1980s to the present. It responds to criticisms generated in the wake of the Global Financial Crisis (GFC) that financial journalism did not play enough of a watchdog role in forewarning the public of the troubles ahead. In the aftermath of the GFC it seemed there was a need to examine the coverage in the light of these criticisms, as well as investigate the modus operandi of the journalists themselves. This is not the first time finance journalism has attracted criticism and, given calls for more thorough, comprehensive, and empirical research into this genre, it seemed appropriate to undertake an investigation of the reportage in the context of the cultural and institutional developments of the past 30 years. The longitudinal content analysis covers the recession of the early 1990s, the 2000 dot com boom, and the 2007-2008 GFC. A total data set of 1,205 articles was collected from bi-monthly sampling for a period of two years before each financial collapse (to capture the incubation period of the crises), to a little over a year afterwards (to capture the aftermath). The data was subjected to both quantitative and qualitative analysis to reveal the amount, type, and style of reportage. A longitudinal content analysis of this scale has not been seen since Barkin’s (1982) longitudinal content analysis of financial coverage in US mainstream newspapers. The study is also transnational, comparing content from the New York Times, the Guardian, and the Sydney Morning Herald. This allowed for a comparison of the reporting values in three mainstream agenda-setting publications from liberal democracies whose media industries have developed along similar lines. Interviews with financial, business, and economic journalists and editors in the US, the UK, and Australia provide an insight into how finance journalists themselves view their role, and how they deal with the cultural and institutional pressures to which they are subjected. The thesis, therefore, has a dual focus: first, to analyse patterns of reportage across three financial crises; and second, to examine the role of individual financial journalists within a larger industry that has grown exponentially since the 1980s. It finds that declining standards in reportage, and increasing pressures and challenges within the mainstream newspaper industry have contributed to a shift in reportage, which now is directed at big business and investors, as opposed to the general non-shareholding public. The insights from the practitioners form the basis for suggestions as to what is necessary to improve the standard of financial journalism to ensure it fulfils its watchdog role of holding business and government to account, promoting democratic debate, and engendering trust in the public. The thesis concludes that for this to be achieved editors will need actively to encourage independent investigation and analysis, journalists will need better training, and the content will need to be geared to a broader target audience.

Thesis (M.A.)--West Virginia University, 2010.
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Thesis advisor: Fabio Ghironi
This thesis includes two essays that analyze some features of the past financial crises. In the first chapter I study the possible reasons why investors reduced their holdings of foreign equities, and, at the same time, they increased their holdings of short-term government bonds, during the 2007 financial crisis that first hit the U.S. economy and soon became a world crisis. More precisely I analyze how the increases in uncertainty during the crisis affected capital flows. I use a two country DSGE model and I assume that there is trade in both goods and financial assets. I assume that each country is allowed to issue equities and government bonds, and I assume that each economy is hit by three types of shocks: Preference, productivity and government spending shocks. I proxy the increase in uncertainty with the introduction of uncertainty shocks, i.e. I allow the variances of the shocks to be time-varying. My findings show that uncertainty is a source of portfolio-dynamics that can contribute to explain, together with the other sources already identified in the literature, deviations of the portfolio from its steady-state. Investors choose their portfolio with the goal to smooth consumption. Therefore they want to hold assets with returns that display a negative covariance with consumption. When uncertainty shocks hit, the way in which the real variables of the model covary with asset returns changes. As a consequence, agents need to re-adjust their portfolios until when the shock has disappeared. I also show under which conditions it is rational for investors to increase their holdings of foreign government bonds and, at the same time, reduce their holdings of foreign equity, in response to an increase in global uncertainty. My findings show that the response of the portfolio to an increase in uncertainty crucially depends on the source of uncertainty. If uncertainty comes from aggregate demand, it is optimal for agents to increase their holdings of foreign bonds and reduce their holdings of foreign equity. If instead the source of uncertainty is aggregate supply, agents find it optimal to increase their holdings of foreign equity and reduce their holdings of foreign bonds. This finding suggests that the movements of capital that took place during the crisis are compatible with an increase in uncertainty coming from aggregate demand. This result is supported by those theories that identify the collapse in demand as the main cause of the slump experienced by the U.S. and by many other economies during the crisis. In the second chapter I study the currency denomination of the debt in emerging countries. Empirical studies have shown that emerging countries are often characterized by the presence of a high share of foreign currency denominated debt. As the debt crises of the 1990s show, the presence of foreign currency debt can be risky because, beyond creating a mismatch in the domestic firms' balance sheets, it also constraints the traditional domestic policy instruments in dealing with home and foreign economic shocks. The reasons why such risky forms of international finance arise in the first place remain an open question. If foreign debt is so dangerous-as it is-it may be worth trying to give a micro-foundation to its emergence. Such a high share of foreign currency debt should be at least in part justified by the presence of some private benefits for the agents that choose this form of finance. The goal of this chapter is to rationalize the choice to borrow in dollars rather than in domestic currency on the international markets. In order to do so, I study how informational asymmetries and heterogeneous expectations can affect the choice of a borrower to expose herself to a currency risk. Furthermore I look at the policy implications of my findings to understand which policies could reduce the incentive of agents to dollarize. My model is a portfolio choice model with asymmetric information that analyzes how agents choose the currency denomination of their debt. The main findings of my model show that when domestic agents have a high informational advantage and/or there is a low level of transparency on international markets, an increase in the degree of dollarization might be observed, if the fundamentals are relatively strong. Alternatively, if there is endogeneity between the exchange rate policy implemented by the monetary authority and domestic agents' decisions, a certain degree of complementarity in borrowers' choices may arise, thus creating a phenomenon of {it moral hazard}. If domestic agents know that a high share of dollar debt in the economy makes the exchange rate more rigid, they may want to coordinate on the equilibrium where all the corporate debt in the economy is denominated in the same currency, even when the fundamentals of the economy are relatively weak. These results have interesting policy implications. A benevolent central bank that strongly bases her policy on the degree of dollarization in the economy, can generate a coordination mechanism among the domestic borrowers that results in a risky degree of dollarization. The solution would be to ex-ante choose a central banker with a strong preference for a flexible exchange rate. My findings also show the importance of transparency. Transparency does not necessarily coincide with public information. My model actually shows that the precision of private sources of information determines the degree of dollarization. If international markets could have access to some sources of private information, they would be more willing to lend in pesos, when the fundamentals are relatively strong. As a consequence the economy would not experience high levels of dollarization and would be better protected against future negative shocks
Thesis (PhD) — Boston College, 2011
Submitted to: Boston College. Graduate School of Arts and Sciences
Discipline: Economics

This thesis is divided into eight main chapters and makes contributions to the area of financial crises and international finance. The first chapter provides a general introduction to the thesis and highlights the main contributions of our work. The second chapter is a literature review which provides a well-defined structure to organise our thoughts about the literature on micro-systemic risks and Central Bank policy. The chapter initially reviews the literature for single-bank crises. It then proceeds on to provide a succinct account of multiple-bank crises and of financial crises that result from the interaction between banks and financial markets. The main value-added of this chapter is that it helps us identify those areas in the literature in which research work is missing. This provides legitimate foundation for building new models to address these issues. The subsequent chapters of this thesis have emerged to bridge these missing gaps identified in our literature review. Chapters 3, 4 and 5 deal with banking panic transmission in two-bank scenario. With common investments affected by the same macroeconomic fundamental, a crisis that spreads from one bank to another has contagious and correlated elements. The purpose of these chapters is to provide a robust theoretical account that can enable us distinguish between these two elements in probability terms. We embed a two-bank model within a dynamic Bayesian setting and use the global games approach to derive the existence of trigger equilibrium in each bank. Chapter 3 provides an overview of our banking environment. Chapter 4 makes a contribution to derivation of the equilibrium concept and shows the equivalence between Perfect Bayesian Equilibrium (PBE) of our game and trigger equilibrium. Chapter 5 encapsulates all results. We show the existence of contagion as one of `excess correlation' between banks. This allows us to depart from existing theoretical papers which explain contagion as interdependence. Furthermore, we show that whether contagion or correlation occurs is a function of the relative importance depositors attach to private vs public signals. The chapter ends by identifying some puzzles (zero-link, clustering and avoidance) which our paradigm can explain and throws light on ways (which are not captured by single-bank models) Central Banks should implement prudential policy measures. Chapters 6, 7 and 8 deal with financial crises in open economies. An important limit of existing bank run models is that they are developed without taking into account the level of economic development of the economy in which they occur. We are interested in studying how financial crises occur in an Emerging Market Economy (EME) and, most importantly, how the nature of their occurrence differs when the exogenous macroeconomic constraints of an EME are duly accounted for. Chapter 6 introduces the main banking environment we study in the subsequent two chapters. Important among the assumptions are that all depositors in the banking system are foreign investors (the economy is fully liberalised) and that banks have balance sheets characterised by liability dollarisation. We use the mechanism design approach to show the existence of a pecking order in allocation of resources and liquidity. In particular, we show that a banking allocation is weakly Pareto- inferior to that of a Planner who observes all structures of the economy but its stochastic fundamentals and who achieves second-best allocation. Once this banking allocation is derived, Chapter 7 studies the nature of the transmission mechanism from a banking crisis to a currency crisis. We show that under certain parametric restrictions, Lender-of-Last Resort (LOLR) policies may be a conduit that generates a currency crisis. In a multi-bank setting, LOLR may even be sub-optimal since it may induce devaluation-based bank runs at other banks. Chapter 8 studies the reverse causation from a currency crisis to a banking crisis. Both chapters 7 and 8 offer useful guidance to policy. The success of a policy measure depends on its ability to restore the Planner's second-best. A number of policy options (e.g state-contingent controls) are studied and suggestions for design of exchange rate regimes, based on ability to ward off the twin crises, are offered as well.