Essays on the macroeconomic implications of information asymmetries

Along this dissertation I propose to walk the reader through several macroeconomicimplications of information asymmetries, with a special focus on financialissues. This exercise is mainly theoretical: I develop stylized models that aimat capturing macroeconomic phenomena such as self-fulfilling liquidity dry-ups,the rise and the fall of securitization markets, and the creation of systemic risk.The dissertation consists of three chapters. The first one proposes an explanationto self-fulfilling liquidity dry-ups. The second chapters proposes a formalizationof the concept of market discipline and an application to securitizationmarkets as risk-sharing mechanisms. The third one offers a complementaryanalysis to the second as the rise of securitization is presented as banker optimalresponse to strict capital constraints.Two concepts that do not have unique acceptations in economics play a centralrole in these models: liquidity and market discipline.The liquidity of an asset refers to the ability for his owner to transform it intocurrent consumption goods. Secondary markets for long-term assets play thusan important role with that respect. However, such markets might be illiquid dueto adverse selection.In the first chapter, I show that: (1) when agents expect a liquidity dry-upon such markets, they optimally choose to self-insure through the hoarding ofnon-productive but liquid assets; (2) this hoarding behavior worsens adverse selection and dries up market liquidity; (3) such liquidity dry-ups are Pareto inefficientequilibria; (4) the government can rule them out. Additionally, I showthat idiosyncratic liquidity shocks à la Diamond and Dybvig have stabilizing effects,which is at odds with the banking literature. The main contribution of thechapter is to show that market breakdowns due to adverse selection are highlyendogenous to past balance-sheet decisions.I consider that agents are under market discipline when their current behavioris influenced by future market outcomes. A key ingredient for market disciplineto be at play is that the market outcome depends on information that is observablebut not verifiable (that is, information that cannot be proved in court, andconsequently, upon which enforceable contracts cannot be based).In the second chapter, after introducing this novel formalization of marketdiscipline, I ask whether securitization really contributes to better risk-sharing:I compare it with other mechanisms that differ on the timing of risk-transfer. Ifind that for securitization to be an efficient risk-sharing mechanism, it requiresmarket discipline to be strong and adverse selection not to be severe. This seemsto seriously restrict the set of assets that should be securitized for risk-sharingmotive.Additionally, I show how ex-ante leverage may mitigate interim adverse selectionin securitization markets and therefore enhance ex-post risk-sharing. Thisis interesting because high leverage is usually associated with “excessive” risktaking.In the third chapter, I consider risk-neutral bankers facing strict capital constraints;their capital is indeed required to cover the worst-case-scenario losses.In such a set-up, I find that: 1) banker optimal autarky response is to diversifylower-tail risk and maximize leverage; 2) securitization helps to free up capitaland to increase leverage, but distorts incentives to screen loan applicants properly; 3) market discipline mitigates this problem, but if it is overestimated bythe supervisor, it leads to excess leverage, which creates systemic risk. Finally,I consider opaque securitization and I show that the supervisor: 4) faces uncertaintyabout the trade-off between the size of the economy and the probabilityand the severity of a systemic crisis; 5) can generally not set capital constraintsat the socially efficient level.Doctorat en Sciences économiques et de gestion