Gegenstand dieser Dissertation sind die Auswirkungen von Unsicherheit, die hohe Aufmerksamkeit unter Akademikern und Politikern erregt hat. Der erste Aufsatz beschäftigt sich mit den Folgen von Unsicherheit, die von Finanzmärkten ausgeht. Zu diesem Zweck belege ich die empirische Relevanz von Finanzmarktunsicherheit mithilfe von SVAR Methoden. Anschließend benutze ich das von Gertler and Karadi (2011) entwickelte DSGE-Modell, um den Transmissionsmechanismus aufzudecken. Im Einklang mit der empirischen Evidenz impliziert das Modell einen Rückgang der Wirtschaftsleistung als Reaktion auf einen Anstieg der Finanzmarktunsicherheit. Dieses Ergebnis entsteht hauptsächlich aufgrund einer Verschärfung der endogenen Leverage-Beschränkung, die den finanziellen Akzelerator auslöst. Im zweiten Aufsatz schlage ich eine asymptotische Perturbationsmethode vor, um DSGE Modelle mit endogener Portfolioentscheidung zu lösen. Im Gegensatz zu existierenden Verfahren kann sie benutzt werden, um Approximationen höheren Grades von Bruttovermögenswerten zu ermitteln. Der vorgeschlagene Lösungsalgorithmus wird evaluiert, indem ich ein Lucas-Tree-Modell mit Portfolioentscheidung löse. Der Schwerpunkt liegt dabei auf den Folgen von struktureller Heterogenität in der Unsicherheit zwischen den Ländern. Die vorgeschlagene Methode erfasst diese Asymmetrie und kann zu einer Verbesserung von der Qualität der Approximation führen. Der dritte Aufsatz untersucht die Folgen von globalen Unsicherheitsschocks für die Bankenportfolios und die makroökonomischen Aggregate. Zu diesem Zweck benutze ich ein Zwei-Länder DSGE Modell mit endogener Portfolioentscheidung und Bilanzrestriktionen im Bankensektor. Die Bankenportfolios sind charakterisiert durch einen Home Bias, der mit den Daten konsistent ist. Außerdem führt ein Anstieg der Finanzmarktunsicherheit zum Rückgang der grenzüberschreitenden Bruttoanlagen und der Wirtschaftsleistung weltweit. Dies entspricht den Entwicklungen während der globalen Finanzkrise. / This thesis examines the macroeconomic implications of uncertainty which has attracted attention within both the academic literature and policy community. The first essay investigates the effects of uncertainty originating in financial markets. To this end, I first document empirical relevance of financial uncertainty using SVAR methods. Second, I employ the DSGE framework developed by Gertler and Karadi (2011) to uncover the underlying transmission mechanism. In line with the empirical evidence, the model generates a decline in economic activity in response to an increase in financial uncertainty. This outcome arises mainly because of tightening of leverage constraints which in turn triggers the financial accelerator mechanism. In the second essay, I propose an asymptotic perturbation method to solve DSGE models with endogenous portfolio choice. In contrast to existing local techniques, it can be used to compute a higher-order approximation of gross asset holdings. I evaluate the proposed method by solving a Lucas tree model with portfolio choice. The focus lies on implications of cross-country structural heterogeneity in economic uncertainty for international asset holdings. The proposed method accounts for these asymmetries and can consequently lead to an improvement in quality of the approximation. Finally, the third essay examines the consequences of global uncertainty shocks for banking portfolios and macroeconomic aggregates. To this end, I employ a two-country DSGE model with balance-sheet constrained financial intermediaries and endogenous portfolio choice. Countries are assumed to be ex-ante asymmetric, which allows me to consider both developed and emerging economies. The model implies a home bias in banking assets that is consistent with the data. Moreover, an increase in financial uncertainty leads to a decline in cross-border portfolios and a worldwide reduction in economic activity, which is consistent with dynamics observed during the global financial crisis.

Submitted by Alessandro Ribeiro de Carvalho Casalecchi (alercc@gmail.com) on 2017-07-03T21:17:55Z No. of bitstreams: 1 Tese_Alessandro_Casalecchi.pdf: 2174297 bytes, checksum: 27298549cf220c58b7eb52f7323446d7 (MD5) / Approved for entry into archive by Suzinei Teles Garcia Garcia (suzinei.garcia@fgv.br) on 2017-07-04T11:10:20Z (GMT) No. of bitstreams: 1 Tese_Alessandro_Casalecchi.pdf: 2174297 bytes, checksum: 27298549cf220c58b7eb52f7323446d7 (MD5) / Made available in DSpace on 2017-07-05T13:46:08Z (GMT). No. of bitstreams: 1 Tese_Alessandro_Casalecchi.pdf: 2174297 bytes, checksum: 27298549cf220c58b7eb52f7323446d7 (MD5) Previous issue date: 2017-05-25 / Os dois artigos desta tese, os capítulos 2 e 3, referem-se a testes de hipótese mas têm focos diferentes. O capítulo 2, intitulado "Improvements for external validity tests in fuzzy regression discontinuity designs," apresenta condições --- hipóteses de continuidade, monotonicidade estrita e convergência pontual --- sob as quais testes de qualidade de ajuste para duas amostras podem ser usados para testes de validade externa em modelos de tratamento-controle que sofrem de "compliance" imperfeito. Modelos com "compliance" imperfeito permitem a estimação de efeitos de tratamento apenas para a subpopulação de "compliers", sendo que tais estimativas não são necessariamente válidas para outras subpopulações ("always-takers" e "never-takers"). Sob as condições do capítulo 2, o uso do teste de qualidade de ajuste no lugar do teste de diferença de médias representa um avanço para testes de validade externa, uma vez que mais hipóteses alternativas são detectáveis pelo primeiro teste. Sugerimos combinar duas estatísticas de teste de qualidade de ajuste (uma para tratados e outra para não tratados) na forma de um teste múltiplo ao invés de um teste conjunto. O capítulo 3, intitulado "Higher-order UMP tests", sugere uma estratégia para se escolher, dentro de um conjunto de estatísticas de teste disponíveis, aquela que fornece o teste mais poderoso quando as funções de poder dos testes em questão não podem ser diferenciadas através de métodos assintóticos usuais, como análise de poder local ("local power analysis"). Propomos o uso de aproximações assintóticas de ordem mais alta, como expansões de Edgeworth, para se aproximar as densidades amostrais das estatísticas disponíveis e, com isso, verificar-se quais delas possuem a propriedade da razão monotônica de verossimilhança. Tal propriedade implica, pelo Teorema de Karlin-Rubin, que o teste é uniformemente mais poderoso (UMP) --- ao menos até certa ordem de aproximação --- se a estatística for suficiente para o parâmetro relevante. Para o caso em que as estatísticas sendo comparadas não são suficientes, argumentamos que frequentemente elas podem se tornar suficientes para uma família paramétrica de interesse após reparametrizações apropriadas. Para fins de ilustração, nós aplicamos o método proposto para determinar o valor ótimo, em termos de poder, do parâmetro de suavização do estimador de densidade por kernel em bases de dados simuladas e concluímos que a ordem de aproximação usada nesta aplicação (segunda ordem) não é alta o suficiente para permitir a diferenciação das funções de poder associadas aos diferentes valores do parâmetro de suavização. / The two papers in this work, chapters 2 and 3, regard hypothesis testing but address different issues. Chapter 2, entitled "Improvements for external validity tests in fuzzy regression discontinuity designs", shows conditions --- assumptions of continuity, strict monotonicity and pointwise convergence --- under which two-sample goodness-of-fit (GOF) tests can be used to test for external validity in treatment-control models that suffer from imperfect compliance of units with respect to the assigned treatment. Imperfect compliance allows researchers to estimate only treatment effects for the subpopulation of compliers, and the validity of these estimates for other subpopulations (always-takers and never-takers) remains an open problem. Under the conditions in Chapter 2, the use of GOF tests in place of mean difference tests represents an improvement over other external validity tests in the literature, since more alternative hypotheses are detectable by the test statistic. We suggested to combine two GOF test statistics (one for the treated and one for the untreated) in a multiple test instead of a joint test. Chapter 3, entitled "Higher-order UMP tests", suggests a strategy to choose among candidate test statistics, according to a power criterion, when their power performances are not distinguishable by usual methods of asymptotic comparison like local power analysis. We propose the use of higher-order asymptotic expansions, like Edgeworth expansions, to approximate the sample densities of the candidate test statistics and verify which of them has the monotone likelihood ratio property. This property implies, by the Karlin-Rubin Theorem, that the test is uniformly most powerful (UMP) --- at least to an order of approximation --- if the statistic is sufficient for the relevant parameter. When the statistics under study are not sufficient, we argue that they can often be made sufficient for a desired parametric family after appropriate reparameterization. We applied the method to search for the power-optimal bandwidth for the kernel density estimator in simulated data sets, and concluded that the order of approximation that we used (second order) is still too low to allow us to distinguish among bandwidths.