Bank and Sovereign Credit in Financial Turmoil ; Crédit bancaire et dette souveraine en période de crise financière
The objective of this dissertation is to study both the causes that explain the collapse of Lehman Brothers leading to the subprime crisis and its consequences for two different agents, i.e. banks and sovereigns, using several original empirical approaches. We set forth that the subprime crisis found its origins in the combination of a real estate and a credit bubble associated with an increase in moral hazard behaviour, emphasized by the use of financial innovations such as securitization. Hence, in 2008, when financial markets collapsed, European banks in particular became reluctant to lend money which in turn provoked credit crunch and a flight-to-home effect associated to a sectoral bias. As such, national governments had to intervene to support their banking systems and to limit the propagation of the crisis in the real economy. However, we show evidence that these rescue packages raised concerns among investors about the capacity of European sovereigns to manage their own debt. The cost of servicing sovereign debt thus increased and the sovereign debt crisis in the Euro-zone burst. We set forth that this sovereign debt crisis was unique and could not be handled similarly to previous experiences due to significant spillover risks. Nevertheless, our results show that the debt reduction implemented in Greece to solve the crisis was optimal and succeeded in rendering the default option unattractive ; L'objectif de cette thèse est d'étudier tant les causes qui expliquent la faillite de Lehman Brothers et la crise des « subprime » que leurs conséquences pour deux agents économiques distincts, à savoir les banques et les souverains, à travers différentes approches empiriques originales. Nos résultats mettent en avant le fait que la crise des « subprime » trouve son origine dans la combinaison d'une bulle immobilière et de crédit associée à une hausse du risque dans les décisions d'investissement, le tout soutenu par des innovations financières telles que la titrisation. Ainsi, en 2008, lorsque les marchés ...