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De la crise financière à la crise économique. Une analyse comparative France-États-Unis

  • Christophe Blot
  • Sabine Le Bayon
  • Matthieu Lemoine
  • Sandrine Levasseur

La crise financière, qui a éclaté au cours de l’été 2007, n’a pas tardé à se répercuter sur la croissance et l’emploi de l’économie française. Si au départ, on pouvait espérer que la crise soit passagère et de faible ampleur, l’accumulation de mauvais chiffres a rapidement terni ces espoirs, rappelant que les économies échappent rarement à la récession lorsqu’elles sont frappées par des chocs financiers. Partant de ce constat, cet article propose de préciser les mécanismes théoriques par lesquels les chocs financiers se transmettent à la sphère réelle. La pertinence de ces canaux de transmission est ensuite illustrée empiriquement pour les cycles d’activité en France et aux États-Unis. Les prix d’actifs (Bourse, immobilier et taux d’intérêt) représentent un vecteur essentiel de la transmission des chocs financiers, de par leurs effets sur la richesse des agents, sur le coût du capital et sur la valeur des garanties pouvant être mobilisées en contrepartie de prêts. La théorie du canal du crédit accorde par ailleurs un rôle important aux banques. Nous soulignons de plus que l’incertitude endogène aux chocs financiers est également un facteur récessif par ces effets sur la consommation et l’investissement. Nous proposons alors une modélisation VAR où les crises financières sont mesurées par les chocs affectant les cours boursiers, les prix immobiliers, le spread interbancaire et la volatilité boursière. Les deux premières variables captent principalement les effets de richesse et d’amplification financière tandis que le spread est utilisé comme indicateur des difficultés bancaires et que la volatilité mesure l’effet de l’incertitude. L’impact récessif, sur le cycle industriel, des chocs financiers est confirmé en France comme aux États-Unis par des fonctions de réponse généralisée. En particulier, les chocs immobiliers et dans une moindre mesure sur l’incertitude ont des effets significatifs et persistants. Quant aux chocs boursiers, leur effet est plus élevé et persis

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Article provided by Presses de Sciences-Po in its journal Revue de l'OFCE.

Volume (Year): n° 110 (2009)
Issue (Month): 3 ()
Pages: 255-281

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Handle: RePEc:cai:reofsp:reof_110_0225
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