Five Essays on the Monetary, Banking and Property Sector

The thesis studies various themes that are central to modern finance : economic agents rationality and behavioural biases with respect to nominal values, the problem of asset fundamental valuation, the changing landscape of the European post-trade industry catalysed by the Eurosystem project Target 2 Securities, and models of defaults and methods to estimate defaults cycles for a given sector. Techniques employed vary: studies on individual data, econometrics, game theory, graph theory, Monte-Carlo simulations and hidden Markov chains.
Concerning monetary illusion, results confirm those of previous study while emphasizing new areas for investigation concerning the interplay of individual characteristics, such as university education, and money illusion. The study of the Fed model shows that the long term relationship assumed between nominal government bond yield and dividend yield is neither robust, nor useful for reduced time horizons. The default model based on hidden Markov chains estimation gives satisfactory results in a European context, and this besides the relative scarcity of data used for its calibration.