Politiques monétaires et comportement des entreprises

Essay on Monetary Policies and Firms' Behaviors

• Auteur / Autrice : Ying Liang
• Direction : Augustin Landier
• Type : Thèse de doctorat
• Discipline(s) : Sciences économiques
• Date : Soutenance le 21/01/2019
• Etablissement(s) : Toulouse 1
• Ecole(s) doctorale(s) : École Doctorale Toulouse Sciences Économiques
• Partenaire(s) de recherche : Equipe de recherche : TSE-R (Toulouse)

Mots clés

Mots clés contrôlés

Investissements de capitaux

Politique monétaire

Mots clés libres

Comportement des entreprises

Prise de risques des banques

Banks’ risk-taking

Résumé

Le résumé en français n'a pas été communiqué par l'auteur.

In this paper, I study the effect of risk-free rate shocks on firms that are exposed to interest rate risk. To examine their influence on the firms’ investment behaviours, I define an interest rate exposure, which is measured by the total floating debt, so that the impact of interest rate shocks on firms can be measured by the product of the interest rate exposure and the change in the interest rate. Using the Compustat data from 1974-2012 and the US annual fundamental financial data, I firstly find that the firms, which are exposed more to interest, have more sensitive cash flows of interest payments and retained earnings. Secondly, I find that exposed firms’ investment behaviours are sensitive to the interest rate shocks as well: the higher the exposure to interest rate risk, the more the firms would react to interest rate shocks. Furthermore, I show that financially constrained or high-leverage firms are more sensitive to interest rate shocks than financially non-constrained or low-leverage ones. Interestingly, I find that the fact that firms have different reactions to the interest rate shocks of different signs also works for R&D policies. Finally, I show that the model structure changes a lot after the 2008 financial crisis. We study the reactions of insurance companies to the unexpected interest shocks, which are defined by using the level and the slope of future contract interest rates. We find that on average, insurance companies have significantly positive abnormal returns following a positive unexpected shock in the level or the slope of interest rates: a 1% increase in the level or the slope of interest rates will increase the abnormal returns on average by 2.59% and 1.63%, respectively. We also find that insurance firms engage in maturity transformation in the opposite direction of banks: insurance companies, whose long-term debts will maturate in a very long term, will benefit from the increase in interest rate slope shocks rather than banks’ riding on the yield curve through a large mismatch between assets and liabilities. The empirical results provide important policy implications: interest rate shocks boost the value of insurance equities, with a decreasing effect on life, property & causality, and multi-line, but not for the reinsurance or insurance brokers. I investigate how the 2011 and 2014 EU stress tests affect the risk-taking of Euro-pean banks. I document a non-monotonic relationship between banks’ risk-shifting resulting from regulatory arbitrage and the tightness of their capital constraint (i.e., the distance between their ex-ante capital ratio and the regulatory level): banks with capital ratios marginally above the regulatory level do more regulatory arbitrage than banks with a level of capital ratio significantly below or above the regulatory level. I also study the indirect effect of the tests on the financing costs of banks which are excluded from the tests: their financing costs on the corporate bond market increase with the level of negative information released in the country in which they are located.