MOJON Benoit

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This thesis focuses on the relationship between the money and financial markets in France over the period 1880-1914. In particular, it examines the market for short-term loans. The thesis studies in detail two segments of this market: the advances on securities (secured short-term loans), and the deferment market (sale and repurchase agreements). The key intermediaries are the Banque de France, four major depository banks, regional banks, and the two stock market players: the Compagnie des agents de change and the Coulisse. The thesis is structured in three chapters. The first chapter deals with the introduction of a clearing house in the French deferral market, and studies the consequences of this introduction on counterparty risk. The second chapter deals with the monetary policy of the Banque de France between 1890 and 1913 and the role of the banking sector in the transmission of monetary policy itself. The third and final chapter deals with the financial crisis of 1914 in France.

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In the years since the Great Recession, many observers have highlighted the slow pace of productivity growth around the world. For the United States and Europe, we highlight that this slow pace began prior to the Great Recession. The timing thus suggests that it is important to consider factors other than just the deep crisis itself or policy changes since the crisis. For the United States, at the frontier of knowledge, there was a burst of innovation and reallocation related to the production and use of information technology in the second half of the 1990s and the early 2000s. That burst ran its course prior to the Great Recession. Continental European economies were falling back relative to that frontier at varying rates since the mid-1990s. We provide VAR and panel-data evidence that changes in real interest rates have influenced productivity dynamics in this period. In particular, the sharp decline in real interest rates that took place in Italy and Spain seem to have triggered unfavorable resource reallocations that were large enough to reduce the level of total factor productivity, consistent with recent theories and firm-level evidence.

This thesis studies two major economic issues that are closely related. On the one hand, it analyzes under what conditions exchange rates exhibit common long-run relationships. On the other hand, an in-depth analysis of foreign exchange investments known as "carry trades" is proposed. Since the exchange rate is one of the determinants of the return on these investments, the link between the two issues becomes clear. These issues are addressed through the use of theoretical and empirical tools. This work leads to several conclusions. Concerning the common long term movements between exchange rates, they depend on the degree of integration of the economies as well as on the similarity of their monetary policies. Regarding currency investments, this thesis shows that central banks in small open economies have a strong interest in setting an inflation target and a capital inflow target to avoid the destabilizing effect of carry trades. This policy will only be effective if the central bank is transparent about its long-term targets. Finally, after the financial crisis of 2008, the New Zealand central bank changed its behavior towards carry trades from Japan. Indeed, after the crisis, the central bank responded in a way to stabilize the economy. However, investments from the US are still destabilizing for the New Zealand economy, especially when the US uses quantitative easing.

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We construct a model where risk shifting can be moderated by capital requirements. Imperfect information about the level of capital per unit of risk, however, introduces uncertainty about the risk exposure of intermediaries. Over-estimation of the capital held by financial intermediaries, or the extent of regulatory arbitrage, may induce households to wrongly infer from higher asset prices that the fundamentals of risky assets have improved. This mechanism can notably explain the low risk premia paid by U.S. financial intermediaries between 2000 and 2007 in spite of their increased exposure to risk through higher leverage. Moreover, the lower the level of the risk-free interest rate, the more risk is under-estimated.

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We analyse the risk-taking behaviour of heterogenous intermediaries that are protected by limited liability and choose both their amount of leverage and the risk exposure of their portfolio. Due to the opacity of the financial sector, outside providers of funds cannot distinguish "prudent" intermediaries from those "imprudent" ones that voluntarily hold high-risk portfolios and expose themselves to the risk of bankrupcy. We show how the number of imprudent intermediaries is determined in equilibrium jointly with the interest rate, and how both ultimately depend on the cross-sectional distribution of intermediaries' capital. One implication of our analysis is that an exogenous increase in the supply of funds to the intermediary sector lowers interest rates and raises the number of imprudent intermediaries. Another one is that easy financing may lead an increasing number of intermediaries to gamble for resurection following a bad shock to the sector's capital, again raising economywide systemic risk.

The thesis proposes a study of the transmission mechanisms of monetary policy in Europe. We show that the transmission is determined by the institutions of each country. We assess the homogeneity of transmission in the future member countries of the EMU. This investigation is essentially empirical and proceeds in several steps. Prior to the comparison, we define monetary policy as the discrete action of monetary authorities on the interbank market interest rate. We show that France has strictly followed the German monetary policy since 1987. Then, we focus on the transmission mechanisms of monetary policy to the real economy. We base our study on the four major European countries, Germany, France, Italy and the United Kingdom, over the period 1975 to 1994. In the second chapter, we present the role of financial structures in the transmission channels of monetary policy, which allows us to identify criteria for comparing the German, French, Italian and British financial structures for the implementation of the single monetary policy. In the third chapter, empirical evaluations of various models show that the expected effects of a monetary policy shock do not necessarily go through the same transmission channels in different countries. However, the overall effects of monetary policy shocks on final output and price targets are relatively consistent across the four countries. The fourth chapter focuses on the role of the labor market in the transmission of final demand changes to inflation. Our results show the possibility of a trade-off between inflation and unemployment, including in the long run. Above all, they show that the cost in terms of unemployment of disinflation policies has increased in Germany, France, Italy and the United Kingdom over the last fifteen years. This increase is particularly dramatic in France. Finally, the fifth chapter proposes to explain why the yield curve has been a good leading indicator of activity in Europe for the last 25 years.