État de la situation financière

L'état de la situation financière (terme officiel des normes internationales IFRS, aussi appelé bilan comptable) est un état financier qui synthétise à un moment donné ce que l'entreprise possède, appelé l'« actif » (terrains, immeubles) et ses ressources, appelées le « passif » (capital, réserves, crédits, etc.). Le bilan est l'un des documents composant les états financiers. Finalités du bilan comptable Le bilan est une « photographie » du patrimoine de l'entreprise qui permet de réaliser une évaluation d'entreprise, et plus précisément de savoir après retraitement (par exemple d'une optique patrimoniale à celle sur option de juste valeur pour l'adoption des normes internationales) combien elle vaut et si elle est solvable. Pour les petites entreprises, le bilan sert surtout aux tiers (banques, administrations…) qui peuvent ainsi contrôler si l'entreprise est solvable (par une analyse des ratios ou de la trésorerie notamment) et pour évaluer les impôts et taxes dus. L

Three Problems of Liquidity under Asymmetric Information

Sylvain Jean Pascal Carré

This thesis develops models for three problems of liquidity under asymmetric information. In the chapter "Disclosures, Rollover Risk, and Debt Runs" I build a model of dynamic debt runs without perfect information in order to understand the impact of asset opacity and disclosure policies on run likelihood and economic efficiency. I find that opacity is desirable with respect to both these metrics if and only if fundamentals are strong enough; and that a bank should commit to disclose truthfully any information it has unless the level of opacity is large. The model also uncovers rich interactions between debt dynamics, beliefs dynamics and equilibrium outcomes: short-term yields may remain low while risk builds up in the background, and therefore may not contain a warning sign of an upcoming crisis; and a disclosure regime might produce higher beliefs about collateral quality but nevertheless imply larger financing costs and thus lead to a bank failure. In the chapter "Short-term Bank Leverage and the Value of Liquid Reserves", we extend the modelling toolbox of the global games literature by providing a fully rational setup where liquid reserves are modeled explicitly. The banks' balance sheet decisions and the prices of all securities are endogenous in the model. A bank possesses two instruments to manage illiquidity risk: its funding policy and the size of its liquid asset holdings,modeled as government bonds. Higher short-term indebtness allows the bank to better capture the liquidity benefits priced into deposits but increases illiquidity risk. Holding more bonds makes the bank more robust to withdrawals but it reduces the bank's asset returns. The impact of an increase in bond supply on bank leverage depends on the general-equilibrium change in the cost of absorbing the supply. The model also illustrates how considering an endogenous leverage decision is key to predict the impact of the economic environment on the liquidity premium. In the chapter "Insider Trading under Penalties", we establish existence and uniqueness of equilibrium in a generalised one-period Kyle (1985)model where insider trades can be subject to a size-dependent penalty. The result is obtained by considering uniform instead of Gaussian noise and holds for virtually any penalty function. We apply this result to regulation issues. We show that the penalty functions maximising price informativeness for given noise traders' losses eliminate small rather than large trades. We generalise this result to cases where a budget constraint distorts the set of penalties available to the regulator.

EPFL2019

Financial Frictions within the Macroeconomy

Victoria Nuguer

Financial factors are central to the recent economic crisis. Most macroeconomic models treat banks and financial intermediation as a veil. These models are unable to account for the recent financial crisis and they cannot be used for policy evaluation. Financial frictions include default on mortgages, disruptions in financial intermediation, and informational asymmetries, among others. In my dissertation, I propose to analyze the effects of policy in economic models characterized by financial frictions. The thesis is composed of three chapters. The first chapter is joint work with Luisa Lambertini and Pinar Uysal. We explicitly model the housing sector, mortgages, and endogenous default as well as nominal and real rigidities in a dynamic stochastic general equilibrium (DSGE) setting. We use U.S. data for the period 1981-2006 to estimate our model using Bayesian techniques. Our starting point is to have an empirically plausible model with endogenous default in mortgages that can explain the main features of the macroeconomic time series. We analyze how an increase in the mortgage default rate can spread to the rest of the economy and result in a recession. Next we examine different policy options that might mitigate the effects of an increase in the mortgage default rate. In the second chapter I develop a two-country DSGE model with global banks (financial intermediaries in one country lend to banks in the other country). Banks are financially constrained on how much they can borrow from households. The main goal is to obtain a framework that captures the international transmission of a financial crisis through the balance sheet of the global banks as well as to explain the insurance mechanism of the international asset market. A negative shock to the value of the capital in one country generates a global financial crisis through the international interbank market. The third chapter uses the above model to analyze the policy challenges that global banks face. In this chapter, I look at how different unconventional unilateral credit policies help to mitigate the effects of a financial disruption. First, the policies are carried out only by the policy maker of the country directly hit by the shock. Consumers of the country where the intervention and the shock take place are better off with policy than without it; consumers from the other country are worse off. Second, I allow for both policy makers to intervene. Both countries intervening help to reduce the negative effects of the country that is not directly hit by the shock but the intervention is not a Pareto improvement.

EPFL2014

Financial Frictions within the Macroeconomy

Victoria Nuguer

EPFL2014

Three Problems of Liquidity under Asymmetric Information

Sylvain Jean Pascal Carré

EPFL2019