Crise financière

Résumé

thumb|Gravure du numéro du 24 mai 1884 du Harper's Weekly décrivant la situation à Wall Street le matin du 14 mai, lors de la . Une crise financière est un terme polysémique qui recouvre des réalités diverses dont le dénominateur commun est une chute abrupte d'une activité économique dématérialisée. Les crises monétaires, les crises bancaires et les crises boursières sont ainsi des crises financières. Le terme est aussi utilisé pour désigner les crises de la dette publique ou des crises qui affectent un marché à terme, voire un marché de produit agricole, comme celui touché au aux Pays-Bas par la tulipomanie. Concept Définition Les crises financières sont des situations de chute abrupte de valeurs financières. Il n'existe pas de définition unique du phénomène. La crise financière est caractérisée par la multiplication de problèmes d'insolvabilité ou des défauts de liquidité. Phénoménalement, elle est souvent marquée par l'intervention de la puissance publique

Source officielle

https://fr.wikipedia.org/wiki/Crise_financi%C3%A8re

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Essays in Information-Based Asset Pricing

Michael Hasler

I started my Ph.D. studies in the Fall 2008, a period ex-post perceived as being at the core of the Financial Crisis. At that time my ideas were vague and I struggled to find a good research topic. As surprising as it might appear, in one single week the discussions I had with my relatives provided me with enough ideas needed to write my thesis. Indeed, during that single week my relatives contacted me and complained about the fact that they had lost money invested in the financial market. They wanted me to advise them. I simply told them to invest their money in relatively safe bonds. My relatives did not realize how fruitful their behavior was for me. Indeed, after having advised them I wondered whether their willingness to gather information in bad times was optimal or pure irrationality. This issue is addressed in the first chapter of my thesis. The last two chapters investigate the impact of the willingness to gather more information in bad times than in good times on the dynamics of asset prices. My thesis answers two very important questions: When should investors acquire information given that information-processing is costly and what is the impact of the optimal information acquisition strategy on asset price dynamics? Consequently, the main topic of my thesis is the transmission of acquired information in financial markets. In the first chapter I consider a dynamic portfolio choice and costly information acquisition problem. Consistent with my relatives behavior, I show that it is optimal to gather more information in bad times than in good times. As the state of the economy worsens, investors optimally re-balance their portfolio towards safer investment and spend more and more money to gather more and more accurate information regarding future market moves. This result derived in a purely rational setup helps to understand the empirical observation that people tend to pay fluctuating attention to news, focusing more in downturns than in upturns. To the best of my knowledge, this paper is the first to consider costly information acquisition in a dynamic setting. The main contribution is to provide insights on how investors should optimally allocate their wealth to the financial market on the one hand and to information market on the other hand given current market conditions. In the second chapter (with Daniel Andrei) we model the optimal information acquisition strategy obtained in the first chapter in a general equilibrium framework and we show that this strategy (fluctuating attention paid to news) has very interesting implications on the dynamics of asset prices. Our main contribution is to highlight a J-shaped relationship between attention and volatility. By constructing an empirical measure of attention to news, we show that the theoretical prediction of our model holds in the data. Moreover, we are the first to provide a theoretical foundation for the fact that the slope of the term structure of equity premia is pro-cyclical. In the third chapter I investigate the impact of fluctuating attention to news in a multi-asset general equilibrium framework. My main contribution is to show that fluctuating attention to news generates return and volatility spillover effects among financial markets. As a bad shock hits one market, investors raise their attention to that particular market. This implies a simultaneous increase in each market volatility and in each cross-market correlation, a phenomenon called financial contagion. Moreover, I document that the interconnection between attention and uncertainty generates persistence in cross-market correlations. This very interesting result proves that persistence can be generated through Bayesian learning. Finally, I am the first to provide a theoretical foundation for the observed shape of the term structure of correlation. Consistent with empirical findings, I show that fluctuating attention implies an upward sloping term structure of correlation where the shorthand is wider than the longhand.

EPFL2013

Chargement

The total benefit of alternative assets to pension fund portfolios

Anna Slavutskaya

Pension funds only quite recently have explored alternative assets, prodded by financial crises that devastated equity returns and led to low bond returns. We assess the addition of alternative assets to pension fund portfolios in terms of the total benefit derived from diversification, addition of positive skewness, and the elimination of left tails in returns. During 1994-2012, adding portfolios of hedge funds produced significantly higher total benefits than adding real estate, commodities, foreign equities, mutual funds, funds of funds, as well as some counter cyclical and non-cyclical assets. Conditioning on past total benefits improves the out-of sample performance even further. (C) 2016 Elsevier B.V. All rights reserved.

Elsevier Science Bv2016

Chargement

After the financial crisis, policy rates in the major advanced economies have moved downwards to near/below zero. Some countries have experienced an increase in house prices and an expansion of mortgages. Also, there have been considerable changes in the mortgage market share, with only a few bank categories contributing to this mortgage expansion. Such change in exposure to real estate risk may pose a risk to financial stability. My dissertation research studies the role played by specific bank features, such as reliance on deposits and covered bonds or capital surplus relative to the required level, in explaining banks' different mortgage lending behavior. The first chapter (joint with Prof. Luisa Lambertini) studies the Swiss mortgage market dynamics in a low rate environment. After 2008, small banks (cantonal banks and Raiffeisen) have primarily contributed to this mortgage expansion at the expense of two big global systemic banks (UBS and Credit Suisse). We set up a model featuring big and small banks that compete in the deposit and mortgage market and face different capital requirements. We calibrate it to the Swiss banking sector. In this model, a falling policy rate drives up borrowing demand and leads to an expansion in mortgage supply; however, an asymmetric tightening of capital requirement gives small banks a competitive advantage and causes a shift in market share towards small banks. In the second chapter, with Prof. Luisa Lambertini, we use the Swedish bank-level data and employ a triple diff strategy to investigate whether funding side differences also play a role in explaining banks' different lending responses to the negative rate policy. First, we find that high-deposit banks expand their mortgage supply less than low-deposit banks during negative rate periods, confirming the well-documented deposit channel effect. However, this pattern works only for weakly-capitalized banks, which have a low capital buffer. Second, we show that banks more reliant on covered bonds to finance mortgage lending lend out more under negative rates; they can shift into cheap deposits to reduce their funding costs. We extend our model in the first chapter to be consistent with these empirical findings and use it to study the implications of the Covid-19 pandemic for the mortgage market. The third chapter analyzes the transmission of housing price dynamics to the real economy in the context of China, which went through a decade-long housing boom. Understanding its propagation to other economic activities is thus important. I build up a real business cycle model for this study and find that land-use conversion by the governments and land finance of housing firms can amplify the crowding-out effects of housing price fluctuations on the non-housing sector. The year 2020 was marked by the outbreak of the Covid-19 pandemic, which adversely affected the labor market. The fourth chapter is an additional line of work, with Dr. Corinne Dubois and Prof. Luisa Lambertini exploring gendered consequences of the pandemic in the Swiss labor market. We use the Swiss labor force survey data and find that all else equal, women have been more likely to exit the labor market altogether or to use short-term working schemes than their male counterparts. Contrary to expectations, increased family-care responsibility is not the main driver. Telework availability of occupation, however, explains some of the differential impact of Covid-19 on men and women.

EPFL2021

Chargement

EPFL2021

Essays in Information-Based Asset Pricing

Michael Hasler

EPFL2013