This thesis focuses on broader or Knightian uncertainty and its relation with financial uncertainty or risk, given the overlaps existing between these two important concepts in the economics and finance literature. The first chapter adds to the existing stock of analytical methods able to disentangle financial from policy-related uncertainty shocks within a sample of Euro Area countries, where cross-border spill-overs can raise identification challenges. In terms of policy reactions, the results point to ECB having adopted a pro-active stance towards policy uncertainty shocks, but a more passive or accommodative stance towards financial uncertainty shocks. The second chapter discusses the trade-off between prediction accuracy and reaction speed that allows hedge funds to better time the market and profit during periods of turmoil and high uncertainty. It proposes a mathematical formulation of the trade-off that casts the decision-making process in a Bayesian framework. The empirical results, pointing to speed gains associated with less accurate predictions, are justified in a simulation exercise. The third chapter discusses some challenges arising from the ongoing transition to a low-carbon economy in a market context dominated by multiple uncertainty sources and information frictions that can either amplify or reduce investors’ own behavioural biases.
La presente tesi si concentra sull’incertezza e sulla sua relazione con il rischio finanziario, due importanti concetti in economia e finanza. Il primo capitolo propone un approccio analitico in grado di separare gli shock connessi all’incertezza finanziaria dagli shock legati all’incertezze politiche, utilizzando un campione di paesi appartenti all’area Euro, dove la diffusione di shock da un paese all’altro (effetti di spillover) rendono l’identificazione più complessa. I risultati indicano che la BCE favorisce adottare una condotta proattiva verso gli shock di incertezza politica, e una più passiva verso gli shock di incertezza finanziaria. Il secondo capitolo discute il trade-off tra accuratezza della previsione e velocità di reazione che consente agli hedge fund di incrementare i profitti durante periodi caratterizzati da elevata incertezza. In questo capitolo si propone un metodo matematico per l’analisi di tale trade-off utilizzando un approccio Bayesiano. I risultati empirici e le simulazioni effettuate indicano che previsioni meno accurate sono associate ad aumenti di velocità. Infine, il terzo capitolo analizza alcune problematiche inerenti alla transizione ad un’economia a basso impatto ambientale, tenendo conto che la presenza di incertezza e asimmetrie informative potrebbero amplificare o limitare i pregiudizi comportamentali degli investitori.
Dragomirescu-Gaina, C., THREE ESSAYS ON UNCERTAINTY: POLICY REACTIONS AND FINANCIAL CONSEQUENCES, 2020-04-16T00:01:00Z [https://hdl.handle.net/10807/286584]
THREE ESSAYS ON UNCERTAINTY: POLICY REACTIONS AND FINANCIAL CONSEQUENCES
Dragomirescu-Gaina, Catalin-Florinel
2020
Abstract
This thesis focuses on broader or Knightian uncertainty and its relation with financial uncertainty or risk, given the overlaps existing between these two important concepts in the economics and finance literature. The first chapter adds to the existing stock of analytical methods able to disentangle financial from policy-related uncertainty shocks within a sample of Euro Area countries, where cross-border spill-overs can raise identification challenges. In terms of policy reactions, the results point to ECB having adopted a pro-active stance towards policy uncertainty shocks, but a more passive or accommodative stance towards financial uncertainty shocks. The second chapter discusses the trade-off between prediction accuracy and reaction speed that allows hedge funds to better time the market and profit during periods of turmoil and high uncertainty. It proposes a mathematical formulation of the trade-off that casts the decision-making process in a Bayesian framework. The empirical results, pointing to speed gains associated with less accurate predictions, are justified in a simulation exercise. The third chapter discusses some challenges arising from the ongoing transition to a low-carbon economy in a market context dominated by multiple uncertainty sources and information frictions that can either amplify or reduce investors’ own behavioural biases.File | Dimensione | Formato | |
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