Financial system and real economy : interactions and regulations[Système financier et économie réelle : interactions et régulations]

This thesis contributes to research on systemic financial risk and macrofinancial regulation. It consists of three independent chapters. The first chapter studies the macroeconomic impact of real estate and credit supply and demand shocks in the United States as a function of the household debt service ratio. When indebtedness is high, housing shocks are amplified but credit shocks have a recessionary effect, suggesting a debt overhang effect. Credit shocks are instead amplified when debt is low.The second chapter studies the impact of the announcement of a change in the countercyclical capital buffer rate (CCyB) on the stock prices and the spreads of Credit Default Swaps of the affected banks. It appears that an increase in the CCyB leads to a decrease in CDS prices but not in stock prices. This indicates that investors expect an increase in CCyB to improve the solvency of banks without destroying shareholder value.The third chapter studies a novel database collecting the CET1 ratio targets announced by European banks to their investors. These banks adjust their target pro-cyclically and adapt to regulatory capital requirements, without differentiating between strict and usable requirements. They converge their CET1 ratio to their target by adjusting their amount of capital, the size of their balance sheet and the composition of their assets, in particular their corporate credit.