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La relation liquidité-prix d'actifs comme complément au principe de sélectivité du renflouement par un prêteur en dernier ressort

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  • Marie-Sophie Gauvin

    (USTV UFR SEG - Université Sud-Toulon-Var - UFR Sciences économiques et de gestion - Ministère de l'Enseignement Supérieur et de la Recherche Scientifique)

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    Abstract

    La récurrence des épisodes critiques touchant le Système financier international durant les dernières décennies ainsi que la violence et la longévité du dernier choc en date constituent une motivation à poser un cadre théorique intelligible concernant la gestion des crises. L'objet du papier est de présenter un modèle de Prêt en Dernier Ressort alliant à la fois gestion de crise et limitation de l'aléa moral, principal effet pervers inhérent à l'intervention. L'idée est de s'inscrire dans le prolongement de ce modèle préconisant la Sélectivité du Renflouement et de souligner les risques liés à un apport de liquidité dans le système financier, en soulevant l'importance de la relation entre la liquidité et les prix d'actifs. Ce constat nous emmène à envisager plusieurs scénarii de sortie de crise.

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    Paper provided by HAL in its series Post-Print with number dumas-00563416.

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    Date of creation: 05 Jul 2010
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    Handle: RePEc:hal:journl:dumas-00563416

    Note: View the original document on HAL open archive server: http://dumas.ccsd.cnrs.fr/dumas-00563416/en/
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    Keywords: liquidité ; prix d'actifs ; prêt en dernier ressort ; sortie de crise;

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    1. de Bandt, Olivier & Hartmann, Philipp, 2000. "Systemic Risk: A Survey," CEPR Discussion Papers 2634, C.E.P.R. Discussion Papers.
    2. Dooley, Michael P, 2000. "A Model of Crises in Emerging Markets," Economic Journal, Royal Economic Society, vol. 110(460), pages 256-72, January.
    3. Evans, George W, 1991. "Pitfalls in Testing for Explosive Bubbles in Asset Prices," American Economic Review, American Economic Association, vol. 81(4), pages 922-30, September.
    4. Haizhou Huang & Charles Goodhart, 1999. "A Simple Model of an International Lender of Last Resort," FMG Discussion Papers dp336, Financial Markets Group.
    5. Jean-Paul Pollin, 2004. "Finance comportementale et volatilité," Revue d'Économie Financière, Programme National Persée, vol. 74(1), pages 139-156.
    6. Grégory Levieuge, 2005. "Politique monétaire et prix d'actifs," Revue de l'OFCE, Presses de Sciences-Po, vol. 93(2), pages 317-355.
    7. Kenneth A. Froot & Maurice Obstfeld, 1989. "Intrinsic Bubbles: The Case of Stock Prices," NBER Working Papers 3091, National Bureau of Economic Research, Inc.
    8. Cécile Bastidon, 2002. "Financement extérieur des Pays en Développement : une revue de la littérature des modèles de dette et de crises financières," Post-Print hal-00730937, HAL.
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