Elasticity of polymer microcapsules (MCs) filled with a liquid fluorinated core is studied by atomic force microscopy (AFM). Accurately characterized spherical tips are employed to obtain the Young's moduli of MCs having four different shell thicknesses. We show that those moduli are effective ones because the samples are composites. The strong decrease of the effective MC elasticity (from 3.0 to 0.1 GPa) as the shell thickness decreases (from 200 to 10 nm) is analyzed using a novel numerical approach. This model describes the evolution of the elasticity of a coated half-space according to the contact radius, the thickness of the film, and the elastic moduli of bulk materials. This numerical model is consistent with the experimental data and allows simulating the elastic behavior of MCs at high frequencies (5 MHz). While the quasi-static elasticity of the MCs is found to be very dependent on the shell thickness, the high frequency (5 MHz) elastic behavior of the core leads to a stable behavior of the MCs (from 2.5 to 3 GPa according to the shell thickness). Finally, the effect of thermal annealing on the MCs elasticity is investigated. The Young's modulus is found to decrease because of the reduction of the shell thickness due to the loss of the polymer.