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Instabilité des comportements et cycles financiers : une relecture dans un cadre rationnel avec préférences endogènes

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  • Dominique Pepin

    (CRIEF [Poitiers] - Centre de recherche sur l'intégration économique et financière - UP - Université de Poitiers = University of Poitiers)

Abstract

La crise financière récente a porté au menu des questions économiques les plus importantes celle de la prise en compte du prix des actifs financiers dans les objectifs de la politique monétaire. L'inconstance endogène des comportements financiers, provoquée par l'instabilité de l'environnement financier, permet d'expliquer l'existence de cycles financiers durables et la volatilité importante des prix sur les marchés, sans renier pour autant l'hypothèse de rationalité des agents. Des hypothèses particulières sur la nature contracyclique de l'aversion au risque des agents doivent être faites pour produire un modèle présentant de telles caractéristiques : l'aversion au risque doit augmenter après une baisse du marché et diminuer après une hausse de ce dernier, les agents n'internalisant pas dans leur fonction de perte intertemporelle la variation éventuelle de leur comportement face au risque. Pour stabiliser les comportements financiers dans un tel environnement, le banquier central doit alors intégrer l'objectif de stabilité financière dans ses objectifs, de façon à ancrer les comportements dans un sens favorable à l'intérêt général.

Suggested Citation

  • Dominique Pepin, 2011. "Instabilité des comportements et cycles financiers : une relecture dans un cadre rationnel avec préférences endogènes," Working Papers hal-00960012, HAL.
    • Handle: RePEc:hal:wpaper:hal-00960012
    Note: View the original document on HAL open archive server: https://hal.science/hal-00960012
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    References listed on IDEAS

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