Skip to Main content Skip to Navigation
New interface

Essays on Financial Crises

Abstract : Complex financial systems, such as the interbank network, can be naturally captured using a network approach. This allows to calculate contamination of defaults and to model systemic risk. Our network is composed of identically capitalized agents. The effect of a capitalization ratio is determined depending on the maximization horizon of the agents: short-term, myopic or long-term. When agents optimize their payoffs in the long-run, the capitalization ratio is fully effective and prevents systemic risk. However, when agents adopt a myopic behavior, the capitalization ratio may trade systemic risk for liquidity scarcity.Starting from a production economy, in which firms face stochastic investment opportunities, we study the impact of the interest rates on bubbles in firms' prices. Capital of firms is exclusively made of equity, but when facing an investment opportunity, firms may borrow. Precisely, firms access short-term debts, and the amount of the debt is limited to a fraction of the price of their equities. This model seems to recreate bubbles on firms' prices. Unfortunately, interest rates do not affect prices to a large extent, and we may question whether prices of firms include a bubble component, with respect to the standard definition of bubbles: the discounted sum of the incoming cash flows.This previous model is extended by allowing firms to have a permanent debt. Actually, capital of firms is composed of equity and debt. In this case, firms' prices are very sensitive to interest rates, and may be discontinuous when interest rate shocks last over the periods. This model also exhibits a purely bubbly state: prices of firms only represent capitals profits generated by debts, there is no equity.
Document type :
Complete list of metadata

Cited literature [104 references]  Display  Hide  Download
Contributor : ABES STAR :  Contact
Submitted on : Wednesday, April 2, 2014 - 1:13:51 AM
Last modification on : Friday, October 21, 2022 - 3:25:38 AM
Long-term archiving on: : Wednesday, July 2, 2014 - 11:06:16 AM


Version validated by the jury (STAR)


  • HAL Id : tel-00969039, version 1


Gwenael Moysan. Essays on Financial Crises. Business administration. Ecole normale supérieure de lyon - ENS LYON, 2013. English. ⟨NNT : 2013ENSL0867⟩. ⟨tel-00969039⟩



Record views


Files downloads