Essays on macroprudential and monetary policy[Essais en politique macroprudentielle et monétaire]

Monetary policy and macroprudential policy are arguably the two main missions nowadays commonly devoted to central banks. In essence, the former aims at ensuring consumption price stability when the latter focuses on asset price stability. None of these policies are new. Yet, both the practice of these policies, and the theories underpinning them, have considerably evolved over the last 15 years with the unravelling of the Global Financial Crisis. This PhD thesis contributes to understanding recent developments in both of these fields. The first two chapters of this thesis contribute to the macroprudential policy literature, through an ex-post assessment of a key macroprudential instrument, the countercyclical capital buffer (Chapter 1), and by examining a potential source of systemic risk, the exchange of credit default swaps, that redistributes credit risk within the financial sector (Chapter 2). Chapter 3 is then devoted to monetary policy through an assessment of the heterogeneous effects of quantitative easing in the euro area.