Economics Commons^™

Three Essays On Financial Economics, Megersa Daksa

Dissertations

This study presents three essays on financial economics. In the first essay, we examine how monetary policy shocks affect risk aversion and uncertainty, as well as how risk aversion and uncertainty spread across financial markets. Although a recent study shows that monetary policy influences risk aversion and uncertainty in global stock markets, there are no studies on risk aversion and uncertainty spillover across stock, currency, and commodity markets. Following the method of Bekaert et al. (2013), we decompose the implied volatility indexes (VIX's) for the SP500, U.S. exchange rate, gold and crude oil into risk aversion and uncertainty. The decomposition …

The Impact Of Uncertainty On Data Revision, Pei-Ju Sung

Dissertations

Initial estimates of macroeconomic variables based on incomplete source data can be unreliable. Because of the methodology used by reporting agencies and the presence of reporting errors in the survey data, I argue that initial-released output estimates tend to be irrational and unreliable under uncertainty. Using U.S. nominal and real output real time data from 1985 to 2014 and the Economic Policy Uncertainty (EPU) index proposed by Baker et al. (2013), I investigate the impact of economic policy uncertainty on aggregate output data revisions, modeling the output revisions, and the effect of output data revision on inflation forecasts.

In Chapter …