Crise financière mondiale de 2007-2008

Résumé

La crise financière mondiale de 2007-2008 est une crise financière, marquée par une crise de liquidité et parfois par des crises de solvabilité tant au niveau des banques que des États, et une raréfaction du crédit aux entreprises. Amorcée en , elle trouve son origine dans le dégonflement de bulles de prix (dont la bulle immobilière américaine des années 2000) et les pertes importantes des établissements financiers provoquées par la crise des subprimes. Elle s'inscrit dans le cadre de la « Grande Récession » amorcée en 2008 et dont les effets se font sentir au-delà de 2010. La crise financière de l'automne 2008 amplifie le mouvement et provoque une chute des cours des marchés boursiers et la faillite de plusieurs établissements financiers. Pour éviter une crise systémique, les États doivent intervenir et sauver de nombreuses banques, ce qui provoque une crise de la dette publique en Islande puis en Irlande, et une récession touchant l'ensemble de la planète. Les finances publiques son

Source officielle

https://fr.wikipedia.org/wiki/Crise_financi%C3%A8re_mondiale_de_2007-2008

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Is the current financial crisis different from the 1930's crisis? And if so, in what way?

Zalán Forró, Nikolaos Makriyannis

2010

Chargement

IT Investment and its impacts

Shameem Hasan

This thesis empirically explored the impacts of IT investment on three different scenarios under the common denominator / threads of IT investments. It comprises three different essays on the impacts of IT investments. IT investments and its impact on many aspects of the firms are well known - like performance / productivity, output, market value etc. But I looked into areas that were not explored before and examined events that didnât take place after the advent and integration of Information Technology â like the past financial crisis. The main contribution of my dissertation is to examine how IT investments helps in the debt market, how it helps firms fare comparatively better during crisis period and how CEO characteristics influence the well-established existing link between IT investment and Innovation intensity. The first essay examines the effect of IT investment on the cost of bank loan for firms. We argue that IT affects the decision of banks through three mechanisms: wealth effect, risk effect, and information effect. First, IT investment serves as a signal for higher future revenue and lower operational costs, thus greater future cash flows. Second, on one hand, IT may be able to reduce the risk of being locked out to competition or adverse situations; on the other hand, IT investment itself can bring risk to business. Last, the use of IT can lead to better information quality and thus reduce the information asymmetry between firms and banks. Using a sample of 270 firms between the year of 1991 and 2006, we find that IT investment is associated with lower interest rate from banks. More important, we find the strength of this relationship is contingent upon the role of IT in the industry and time period. In my second essay, the goal was to investigate whether IT investment contributed to better or worse performance during the financial crisis of 2007-2009. We took the available data for U.S. public companies (the final sample comprises 570 companies) and traced IT investments made in the years prior to the crisis period, we checked the impact of IT investments on the annual stock returns and relative changes in return (as well as for book values). After controlling for relevant risk and other independent variables during the 2007-2009 periods, we found evidence that indicates that although most of the firms suffered during the crisis period, expenditure in IT was significantly associated with relatively better performance for sample firms during the crisis period. The third essay brings in the role of CEO to examine whether CEOâs characteristics affects the already established link between IT investments and Innovation activities. We constructed data from multiple sources; we also developed empirical model to test our hypothesis and ran a series of regression tests. We find that CEOâs managerial ability and risk-taking incentive (determined by compensation scheme) are complements for IT investment. Thus for CEOs with lower ability and/or lower risk-taking incentive, firms can still achieve higher innovation efficiency by increasing expenditure in IT. On the other hand, CEOâs ownership of the firm substitutes the link. CEO with larger ownership enhances firmâs innovation efficiency by due diligence, but not necessarily through the channel of IT investment. In together, this paper shows that CEO is an important and significant factor in the conversion of IT investment to innovation efficiency.

EPFL2018

Chargement

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

IT Investment and its impacts

Shameem Hasan

EPFL2018

EPFL2013