Essays on macro-financial linkages

Abstract : The main theme of this thesis are macro-financial linkages. I covered three different questions related to this topic. In the first chapter Gaël Giraud and I develop a model for the Euro Area answering to many of the critiques of policy models before the Global Financial Crisis and with a focus on the interaction between the financial sector and the macroeconomy. The second and third chapter focus on behaviour of the financial sector in the aftermath of the Global Financial Crisis and its implications for the macroeconomy. Chapter 2 investigates the practice of forbearance towards stressed borrowers. The ultimately relevant question in this chapter is to what extend there is a feedback to the real economy due to this behaviour. Finally, the third chapter sheds light on an episode of manipulation in commodity markets. This alleged manipulation was apparently only possible due to the dominant market position banks took in the run up to the crisis and thereafter. Ultimately I quantify the effects of such behaviour and provide evidence of a structural change of the manipulated market during the period of alleged manipulation. The first chapter exploits a bank level dataset, whereas in chapter 2 and 3 I develop structural macroeconomic models. Especially the dynamical system model in the second chapter is an innovation. This class of models and more specifically a model of the size we develop has never been estimated and subsequently used for policy analysis.
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Thore Kockerols. Essays on macro-financial linkages. Economics and Finance. Université Panthéon-Sorbonne - Paris I, 2018. English. ⟨NNT : 2018PA01E010⟩. ⟨tel-02047884⟩

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