Essays in macroeconomics and monetary theory on the consequences of financial crises

Essais de théorie macroéconomique et monétaire sur les conséquences des crises financières

Quentin Vandeweyer
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Quentin Vandeweyer: ECON - Département d'économie (Sciences Po) - Sciences Po - Sciences Po - CNRS - Centre National de la Recherche Scientifique

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Abstract: This thesis aims to study macroeconomic issues related to the dynamics, distribution and price of macroeconomic risks.The first chapter examines the effectiveness of different monetary policies in stabilizing asset prices in times of liquidity crisis. We propose a macro-finance model with heterogeneous banks subject to funding liquidity risk. When banks' equity capital is low, an endogenous haircut spiral emerges between the decline in asset prices and financing risks. The central bank can partially counter this dynamic with monetary policies. If the shadow banking sector is important, a large-scale asset purchase policy may be necessary to stabilize asset prices.The second chapter asks the question: how does productivity growth interact with financial cycles? In the years following the Great Recession, the diffusion of new innovations was particularly low, leading to low productivity growth. This work shows that this pattern can be rationalized in a standard macro-financial model with heterogeneous risk aversion when it is assumed that the implementation of new innovations is risky.In the third chapter, we propose a robust method for solving a large class of continuous-time dynamic general equilibrium models. We use a finite difference scheme to solve partial differential equation systems with multiple endogenous state variables in a short computation time.

Keywords: Monetary policy; Macro-finance; Financial intermediaries; Financial crisis; Politique monetaire; Intermédiaires financiers; Crises financières (search for similar items in EconPapers)
Date: 2019-06-25
Note: View the original document on HAL open archive server: https://theses.hal.science/tel-03696685
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Published in Economics and Finance. Institut d'études politiques de paris - Sciences Po, 2019. English. ⟨NNT : 2019IEPP0055⟩

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