Credit market imperfections and business cycles.

Summary The financial crisis of 2009 has reignited the debate between the classical and Keynesians regarding the role of finance in the business cycle. This thesis studies the macroeconomic consequences of credit market imperfections and quantifies their impact on the labor market. The interaction between unemployment and financial frictions is based on the hypothesis that job vacancies are financed by external funds which are more expensive than internal financing, due to the impact of asymmetric information on the credit market. It is then shown, with the help of a DSGE model calibrated on US data, that a negative financial shock, i.e. a shock that increases the risk premium on the credit market or a shock that deteriorates the balance sheet of entrepreneurs, significantly reduces borrowing capacity, and, consequently, job creation decreases especially. Moreover, an uncertainty shock causes an increase in the unemployment rate and makes this increase more persistent during a crisis. This result is confirmed by empirical evidence that consisted in estimating a Bayesian VAR model, where real and financial labor market variables.