Financial integration, trade and monetary policy.

Summary The end of the 19th century was marked by important changes in the financial markets through their development, liberalization and finally concentration in a cross-border dynamic. A salient fact of these changes is the progressive acceleration of asset price movements, faith between market segments, but also between countries. If the opening of capital markets favors an optimal allocation of resources and risks, this same opening also raises a systemic risk, on a global scale, due to the intensification of these movements observed in times of crisis. The first objective of this thesis is to use several innovative techniques of financial econometrics (in particular multiffractal models) that allow to take into account both the long term dynamics between different assets (linked for instance to the advent of the Euro zone) without neglecting the very short term dynamics. A second objective is to highlight the contribution for policy makers of the use of high frequency data. We show that the use of such data sheds new light on the evaluation of the European Central Bank's operational framework and its interaction with the financial markets.