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Crises Financières, Accumulation De Dette Et Défaut Souverain Mathilde Viennot

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Crises Financières, Accumulation De Dette Et Défaut Souverain Mathilde Viennot Crises financières, accumulation de dette et défaut souverain Mathilde Viennot To cite this version: Mathilde Viennot. Crises financières, accumulation de dette et défaut souverain. Economies etfi- nances. École des hautes études en sciences sociales (EHESS), 2017. Français. NNT : 2017EHES0166. tel-03168319 HAL Id: tel-03168319 https://tel.archives-ouvertes.fr/tel-03168319 Submitted on 12 Mar 2021 HAL is a multi-disciplinary open access L’archive ouverte pluridisciplinaire HAL, est archive for the deposit and dissemination of sci- destinée au dépôt et à la diffusion de documents entific research documents, whether they are pub- scientifiques de niveau recherche, publiés ou non, lished or not. The documents may come from émanant des établissements d’enseignement et de teaching and research institutions in France or recherche français ou étrangers, des laboratoires abroad, or from public or private research centers. publics ou privés. Ecole´ doctorale no 465 : Economie´ THE`SE pour obtenir le grade de docteur d´elivr´epar l'Ecole´ des Hautes Etudes´ en Sciences Sociales Discipline : Analyse et Politique Economiques´ pr´esent´ee et soutenue publiquement par Mathilde Viennot le 11 d´ecembre 2017 `al'Ecole´ d'Economie´ de Paris Crises financi`eres, accumulation de dette et d´efaut souverain Directeur de th`ese : Daniel Cohen Jury M. Pierre-Olivier Gourinchas, Rapporteur Professeur, Universit´ede Californie, Berkeley M. Richard Portes, Rapporteur Professeur, London Business School Mme Anne-Laure Delatte, Examinatrice Charg´eede recherche, CNRS et CEPII M. Pierre-Cyrille Hautcoeur, Examinateur Directeur d'´etudes, EHESS M. Michel Juillard, Examinateur Conseiller, Banque de France M. Gilles Saint-Paul, Examinateur Professeur, Ecole´ Normale Sup´erieure UMR PjSE 8545 / PSE-EEP, France Doctoral school no 465 : Economics Ph. D. Thesis in order to obtain the Ph. D. distinction delivered by l'Ecole´ des Hautes Etudes´ en Sciences Sociales Discipline: Analysis and Policy in Economics prepared and defended publicly by Mathilde Viennot on December 11th, 2017 at Paris School of Economics Financial crises, debt accumulation and sovereign default Thesis Advisor : Daniel Cohen Jury Mr. Pierre-Olivier Gourinchas, Reviewer Professor at University of California, Berkeley Mr. Richard Portes, Reviewer Professor at London Business School Mrs. Anne-Laure Delatte, Examiner Researcher at CNRS and CEPII Mr. Pierre-Cyrille Hautcoeur, Examiner Head of studies at EHESS Mr. Michel Juillard, Examiner Advisor at Banque de France Mr. Gilles Saint-Paul, Examiner Professor at Ecole´ Normale Sup´erieure UMR PjSE 8545 / PSE-EEP, France R´esum´e Cette th`ese contribue `ala litt´erature sur le d´efaut souverain en offrant une nouvelle approche d'analyse, r´econciliant les approches statistiques et structurelles. Avec comme fil rouge le lien entre crises financi`eres, accumulation de dette et d´efaut souverain, ce travail r´epond `atrois ques- tions principales. En premier lieu, quand les pays font-ils d´efaut ? En posant un simple regard sur les principales variables macro´economiques et les composantes cycliques des d´efauts souverains, je montre que le d´efaut se produit quand le pays subit un retournement brutal de croissance, ajout´e`aun large choc discontinu sur son ratio de dette sur PIB, apport´een majorit´epar une crise de change ou une crise bancaire. En second lieu, en quoi le risque souverain au sein d'une zone mon´etaire (par exemple la zone euro) diff`ere de celui d'une petite ´economie ouverte en change flexible, majoritairement d´ecrit dans la litt´erature ? Je construis un mod`ele DSGE n´eo-keyn´esien dans lequel j'introduis du risque souverain ; je mets l'accent sur le r^ole cl´edes comportements de consommation, `ala fois dans la pr´ef´erence pour l'union mon´etaire et dans la d´ecision de d´efaut. Je regarde ´egalement l'efficacit´e de certaines politiques fiscales sur la r´eduction du risque souverain dans une zone mon´etaire. Enfin, les instruments de politique mon´etaire ont-ils ´et´eefficaces pendant la crise pour r´eduire les taux souverains ? J'´evalue la transmission de la politique mon´etaire de la BCE, `ala fois conven- tionnelle et non-conventionnelle, aux taux et aux volumes d'´emissions de titres souverains pour les quatre plus importantes ´economies europ´eennes. Je montre que seule la transmission du taux directeur vers les taux souverains a ´et´eeffective ; les instruments non-conventionnels ont eu des r´esultats contrast´es et essentiellement sur les taux d'int´er^et. Mots cl´es: Dette souveraine ; D´efaut souverain ; Mod`ele DSGE ; Comportements de consom- mation ; Union mon´etaire ; Assouplissement quantitatif. Abstract This thesis offers a new approach to sovereign default analysis, by tackling both statistical and the structural approaches to sovereign default. Starting from the link between financial crises, debt accumulation and sovereign default, it answers three main questions. First, when do countries default ? Taking a simple look at macroeconomic variables and business cycles around default, I show that economic defaults occur when the country experiences a switch from a boom to a bust, combined with a large discontinuous shock on its debt-to-GDP ratio, brought mainly by a currency or a banking crisis. Second, how sovereign risk in a monetary union (e.g. the Eurozone) differs from sovereign de- fault risk in a small open economy usually described in default literature ? Constructing a New- Keynesian DSGE model with sovereign default risk, I exhibit the key role of habit persistence in the preference for a monetary union and the default decision. I am also able to test the efficiency of various policy tools on sovereign risk. Third, have monetary policy tools been efficient to reduce sovereign spreads in the Eurozone ? I assess the transmission of ECB monetary policies, conventional and unconventional, to both interest rates and bond issuance for the four largest economies of the Euro area. The main result is that only the pass-through from the ECB rate to interest rates has been effective. Unconven- tional policies have had uneven effects and primarily on interest rates. Keywords : Sovereign debt ; Sovereign default ; DSGE model ; Habit consumption ; Monetary union ; Quantitative easing. A` mes parents, Lucile, Matthieu A` Gilles Remerciements Parfois les mots ne sont pas `ala hauteur. Trois ann´ees de th`ese aux c^ot´esde Daniel Cohen furent une chance extraordinaire et un enrichissement multiple, `ala fois acad´emique, intellectuel, et humain. Sa grande connaissance du sujet et son intuition exceptionnelle m'ont ´et´eindispensables. Je crois n'avoir jamais autant appris qu'`ases c^ot´es et me sens extr^emement privil´egi´ee.Merci `alui pour son ´erudition rendue accessible, sa grande disponibilit´e,sa p´edagogie, son soutien, sa confiance, son amiti´e. Je souhaite remercier chaleureusement Gilles Saint-Paul et Michel Juillard pour leur exigence et pour m'avoir si bien accompagn´eependant ces trois ann´ees. Leurs conseils, d´ebats enflamm´es et commentaires toujours judicieux ont apport´edu relief `amon travail et l'ont rendu plus juste. Merci `aPierre-Olivier Gourinchas pour m'avoir donn´ela chance d'´etudier un semestre `aUC Berkeley et de me renouveler sa sympathie en acceptant d'^etre rapporteur de ce travail. Merci `a Richard Portes, dont je lis la litt´erature depuis mes d´ebuts en macro´economie, de me faire l'hon- neur d'´evaluer cette th`ese. Je souhaite ´egalement exprimer toute ma gratitude `aPierre-Cyrille Hautcoeur pour me faire l'honneur de sa pr´esence dans ce jury ; sa connaissance historique du sujet est cl´eet les le¸cons qu'il en tire apporte un ´eclairage tout particulier, et n´ecessaire `ace travail. Enfin, merci `aAnne-Laure Delatte de compl´eter ce jury ; son amiti´edepuis mes premiers pas dans le monde acad´emique m'a ´et´ech`ere. C'est un grand honneur pour moi d'avoir un jury d'une telle qualit´e.Merci pour leur disponibilit´e,leur bienveillance, ainsi que l'orientation et l'enrichissement qu'ils ont donn´e`acette th`ese. Ce travail doit beaucoup `aS´ebastien Villemot, `ases connaissances techniques, ses conseils pr´ecieux, sa grande disponibilit´eet sa gentillesse. Outre son th`eme de recherche, je crois partager un peu de sa vision de la science ´economique : la recherche ne m´erite pas des heures de peine si on ne contribue pas au d´ebat politique et `al'am´elioration du bien-^etre de nos soci´et´es. Je le remercie pour le soutien et la confiance qu'il m'a t´emoign´es tout au long de cette th`ese. L'origine de cette th`ese et mon go^ut pour la recherche ´economique m'ont ´et´eapport´espar J´er^omeCreel et Paul Hubert. Je les remercie chaudement pour leur amiti´e, pour leur confiance depuis ces nombreuses ann´ees, pour leur bienveillance `atoute ´epreuve, ainsi que pour la chance qu'ils m'ont donn´eed'obtenir ma premi`ere publication et le quatri`eme chapitre de cette th`ese. i Vous m'avez offert les meilleures armes pour int´egrer le monde de la recherche acad´emique, de pr´ecieux conseils, et un environnement de travail id´eallors de mon passage `al'OFCE. Vous faites partie int´egrante de ce travail. Je souhaite d´esormais remercier tous ceux qui ont contribu´e`acette th`ese, de pr`es en me don- nant de nombreux conseils, ou de loin en ´etant simplement pr´esents quand il le fallait. Merci `a l'´equipe du Cepremap, Benjamin Carton pour m'avoir si simplement expliqu´ecomment cr´eer un mod`ele macro´economique en trois heures, Fran¸cois Langot pour m'avoir rappel´e`aquoi servait un mod`ele DSGE, Eleni Iliopulos pour avoir acc´el´er´ela r´edaction de ce travail en imposant des d´elais serr´es, mais ´egalement `aThomas Brandt, Erica Perego, Houtan Bastani, Thepthida Sopraseuth, Ferhat Mihoubi, St´ephane Adj´emian pour leurs conseils et leur amiti´e.Merci aux professeurs de l'Ecole´ d'Economie´ de Paris qui ont su r´eorienter mon travail : Nuno Coimbra, Florin Bilbiie mais surtout Nicolas Dromel, qui a ´et´ele premier `am'aider et me conseiller sur ce sujet.
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