Essays on uncertainty

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buir.advisorGürkaynak, Refet S.
dc.contributor.authorKaraman, Seçil Yıldırım
dc.date.accessioned2016-07-01T11:12:02Z
dc.date.available2016-07-01T11:12:02Z
dc.date.issued2015
dc.departmentDepartment of Economicsen_US
dc.descriptionCataloged from PDF version of article.en_US
dc.description.abstractThis dissertation consists of three essays on the real impacts of uncertainty shocks. The first essay develops a theoretical model to investigate the impact of financial market uncertainty on real economic downturns. The second and third essays empirically investigate the differences in the adverse impact of uncertainty shocks on real output for countries with different financial development levels and central bank characteristics. The first essay investigates whether financial market volatility induces real downturns in a dynamic stochastic general equilibrium framework with heterogenous agents. In the model, an increase in the volatility of future stock price expectations of nonsophisticated agents causes an increase in the volatility of stock prices. In response to the increase in stock price volatility, the model generates reduction in consumption, investment, employment and output. The model contributes to the literature by modeling financial market volatility in a general equilibrium framework, highlighting the mechanisms through which the impact works, and providing estimates of its magnitude. The second essay investigates whether financial development moderates the negative impact of uncertainty shocks on real economic activity. To test this conjecture, I compare the impact of macro level uncertainty as measured by stock market volatility on real GDP growth for countries with different financial development levels. To address potential endogeneity concerns, the estimation is made using Two Stage Least Squares technique where plausibly exogenous disaster shocks are used as instruments for stock market volatility. The estimation results based on a panel data set of 54 countries between 1971 and 2009 are consistent with the conjecture that uncertainty shocks hurt countries with developed financial markets less. The third essay investigates the role of institutional characteristics of the central banks in moderating the negative consequences of uncertainty shocks using the same identification strategy as the second essay. The results provide strong evidence that central bank independence reduces the adverse effects of uncertainty shocks. As for the impact of central bank transparency, while in some specifications the results support its mitigating impact on the adverse effect of uncertanity, in others it doesn’t have a significant moderating impact. In the light of the restrictions on the transparency data set which spans 44 countries between 1998 and 2009, more comprehensive studies may be needed to reach a stronger verdict for its impact.en_US
dc.description.degreePh.D.en_US
dc.description.statementofresponsibilityKaraman, Seçil Yıldırımen_US
dc.format.extentxv, 94 leaves, chartsen_US
dc.identifier.itemidB151245
dc.identifier.urihttp://hdl.handle.net/11693/30084
dc.language.isoEnglishen_US
dc.publisherBilkent Universityen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectUncertaintyen_US
dc.subjectVolatility Shocksen_US
dc.subjectFinancial Market Volatilityen_US
dc.subjectBusiness Cyclesen_US
dc.subjectFinancial Developmenten_US
dc.subjectCentral Bank Independenceen_US
dc.subjectCentral Bank Transparencyen_US
dc.subject.lccB151245en_US
dc.titleEssays on uncertaintyen_US
dc.title.alternativeBelirsizlik üzerine makaleleren_US
dc.typeThesisen_US

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