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Theses

Financial Intégration, Comovements and Monetary policy

Abstract : The end of the twentieth century was characterized by important changes in financial markets with their development, liberalization and concentration in a cross-border dynamic. A highlight of these changes is the gradual acceleration of comovements between asset prices, both between market segments, but also between countries. If the opening of capital markets enhances the optimal allocation of resources and risks, this opening may also imply a global systemic risk with some intensified comovements observed in times of crisis.
As a result, the multiplication of these fast dynamics of transmission is a major challenge for policy makers (central banks) in terms of financial modelling to ensure the monitoring of the financial system stability as a whole.
The first objective of this thesis consists in the use of innovative techniques in financial econometrics (including multifractal models) that allow to take into account both the long-term dynamics of assets (for instance, linked to the advent of the Euro area) without neglecting the very short term dynamics. A second objective highlights the interest for policy makers in the use of high frequency data. We notably show that the use of such data sheds a new light on the evaluation of the operational framework of the European Central Bank and its interaction with all the financial markets.
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Submitted on : Tuesday, July 7, 2009 - 12:45:27 PM
Last modification on : Tuesday, January 19, 2021 - 11:08:24 AM
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Julien Idier. Financial Intégration, Comovements and Monetary policy. Economics and Finance. Université Panthéon-Sorbonne - Paris I, 2009. English. ⟨tel-00402439⟩

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