Hors bilan | EPFL Graph Search

En comptabilité, le hors-bilan désigne habituellement un engagement, une garantie ou une activité de financement ne figurant pas au bilan de l’entreprise, que ce soit à l’actif ou au passif, parce qu'il ne répond pas aux principes de comptabilisation. Les activités « hors bilan » ne doivent pas être confondues avec la finance de l'ombre. Enjeux du hors bilan Le bilan ne peut enregistrer que des droits et obligations susceptibles d'évaluation monétaire et certaine, la limite étant constituée par les provisions, incertaines dans la mesure où elles concernent l'avenir. Mais l'environnement s'est transformé rapidement et parfois de manière désordonnée, de sorte que les règles comptables classiques ne parviennent pas à rendre compte de certaines nouveautés ; il en est résulté un développement des transactions dites « hors bilan », atténué dans certains cas par l'inscription en annexe. Démarche d'utilisation du hors bilan Dans les normes internationales d'informati

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

Essays in Dynamic Corporate Finance

Francesca Maria Zucchi

This thesis examines the effects of financing frictions on corporate decisions using dynamic models. Accounting for financing frictions helps reconcile a number of regularities that are hard to explain within the Modigliani-Miller framework. For instance, financing frictions provide incentives for firms to keep liquidity on their balance sheets as a precautionary hedge---a pattern that has been heavily debated in light of the secular increase of cash-to-asset ratios of U.S. firms. The first chapter develops a model that investigates the relation between corporate policies and secondary stock market liquidity. I show that secondary market illiquidity limits a firm's ability to hold precautionary liquidity, exacerbates financial constraints, reduces investment, and decreases firm value. The model reproduces the positive relation between market liquidity and corporate cash holdings observed in the data. This relation might be surprising since firms with illiquid stocks, which have been documented to be more financially constrained than more liquid peers, should be willing to keep more precautionary cash. I also show that the illiquidity-driven drop in firm value can feed back into the secondary market by deterring the participation of liquidity providers, thereby making the market more illiquid. The self-reinforcing nature of this relation gives rise to an internal-external liquidity loop, which singles out a propagation mechanism between financial markets and the corporate sector. From a banking perspective, liquidity hoarding has been a hotly debated topic among academics and policy-makers in the aftermath of the 2007-2009 financial crisis. The second chapter, which is a joint work with Prof. Erwan Morellec and Marco Della Seta, develops a dynamic model of the effects of liability structure and liquid reserves on banks' insolvency risk. When a bank relies on short-term debt financing, negative operating shocks get amplified as the bank weaker fundamentals also translate into losses when rolling over short-term debt. This amplification mechanism leads to an increase in default risk that gets more pronounced as debt maturity decreases and rollover losses increase. Because of this amplification mechanism, banks with identical debt ratios and liquid reserves but different debt structures have different default risk. Heavy exposure to rollover risk can also lead banks to implement gambling strategies when close to default. The third chapter, which is a joint work with Prof. Semyon Malamud, analyzes firms' optimal policies in a general equilibrium setting. It characterizes optimal liquidity management, innovation, and production decisions for a continuum of firms facing financing frictions and the threat of creative destruction. We show that liquidity constraints lead firms to cut production and increase markups, which are then countercyclical with respect to firm-specific shocks. We also illustrate that liquidity constraints may spur firms' investment in innovation and give rise to a non-monotonic cash-investment relation. We embed our single-firm dynamics in a Schumpeterian model of endogenous growth and demonstrate that financing frictions have a non-monotonic effect on economic growth and may increase aggregate consumption. When the corporate sector is constrained, liquidity injections by the government have real effects and can stimulate growth.

EPFL2015

Essays in Dynamic Corporate Finance

Francesca Maria Zucchi

EPFL2015

Financial Frictions within the Macroeconomy

Victoria Nuguer

EPFL2014