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Crises financières, accumulation de dette et défaut souverain

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 default 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. Unconventional policies have had uneven effects and primarily on interest rates.
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  • HAL Id : tel-03168319, version 1


Mathilde Viennot. Crises financières, accumulation de dette et défaut souverain. Economies et finances. École des hautes études en sciences sociales (EHESS), 2017. Français. ⟨NNT : 2017EHES0166⟩. ⟨tel-03168319⟩



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