Four essays in finance and macroeconomics : the contribution of nonlinear econometrics.

Summary This paper thesis is composed of four self-contained chapters, contributing to the field of nonlinear econometrics. The first chapter focuses on the contribution of nonlinear econometrics through the measurement of financial performance using a dichotomous variable as the independent variable. The next three chapters are based on nonlinear regression models where the dichotomous variable is the dependent variable of the equation. Given the links between financial risk and the macroeconomic context, this part is linked to the theme of optimal allocation via the study of crises and recessions. This class of model (probit / logit) is used in the second chapter to study empirically the role of financial development in the probability of occurrence of banking crises. Then the last two chapters focus on the methodological framework developed by Kauppi and Saikkonen (2008) and Candelon, Dumitrescu and Hurlin (2012 . 2014) about forecasting business cycles from probit / logit models. Thus, the third chapter studies the empirical relationship linking the evolution of the credit spread and the future probability of expansion/recession in an extended data panel while testing the homogeneity of this relationship. Finally, the fourth chapter proposes a theoretical contribution by deriving the response functions of probit / logit models from the approach of Kauppi and Saikkonen (2008). These response functions are then used in an empirical framework to estimate the impact of an exogenous shock on the expansion/recession cycle.