Dynamic Uncertainty Shocks, Agency Costs and Cross-Country Investment Behavior: Comparison of U.S. and European Economies

目前关于不确定性冲击和宏观经济波动的文献指出，金融市场摩擦和可能影响宏观经济结果的不确定性冲击是一个额外的渠道。然后，这些文献解决了两个关键问题：不确定性冲击在解释实际总波动方面在数量上是否重要？具有不确定性冲击的模型能否再现消费和产出之间的共同运动？然而，关于不确定性和宏观经济学的文献在不确定性对总波动的影响和传播机制上存在分歧。这项研究的目的有三个方面。首先，为了解决上面提出的问题，我提出了一种新的方法来模拟不确定性冲击，这是基于实证工作，而不是一个特别的假设。经验不确定性代理随时间上升和下降，即显示一个驼峰形的时间路径。然而，以前的文献并没有考虑到这一特性，而是将不确定性冲击作为跳跃到峰值的模型。第二个目标是分析信贷渠道对美国和欧元区投资行为的影响。为了强调美国和欧洲金融部门之间的差异，我将重点放在贷款渠道的两个关键组成部分：与银行贷款相关的风险溢价和破产率。我试图回答的问题是“信贷渠道的差异如何影响美国和欧元区的投资行为？”在我的分析中，我比较了美国和欧元区，因为这两个经济体表现出相似的商业周期模式，但在金融结构上却截然不同。我感兴趣的是，金融结构的差异是否会放大冲击对信贷渠道的影响。我将奥地利、爱尔兰和西班牙作为校准分析的代表性欧洲成员国，因为这三个国家代表了三种不同的法律体系，并且已知其破产率较低（例如西班牙）或风险溢价较高（例如爱尔兰）。第三，我提出了一种不同的信贷渠道建模方法。金融加速器文献解决了这样一个问题：“企业家和金融中介机构之间的信贷约束和（或）信息不对称是否会传播和放大商业周期？”然而，最近的经济危机凸显了与家庭贷款相关的信贷市场摩擦的重要性。因此，我试图建立一个家庭和金融中介机构之间的契约模型，这对家庭来说是最优的，而不是基于一个特别的假设。

The current literature on uncertainty shocks and macroeconomic fluctuations has pointed to financial market frictions as an additional channel along with uncertainty shocks that can affect macroeconomic outcomes. The literature then addresses two key issues: Are uncertainty shocks quantitatively important in explaining real aggregate fluctuations, and can models with uncertainty shocks reproduce co-movement between consumption and output? The literature on uncertainty and macroeconomics is, however, divided on the effects and the propagation mechanism of uncertainty on aggregate fluctuations.The objective of this research is threefold. First, in order to address the questions raised above, I suggest a novel approach to modeling uncertainty shocks, that is grounded in empirical work rather than being an ad-hoc assumption. Empirical uncertainty proxies rise and falls over time, i.e. display a hump-shaped time path. Previous literature, however, has not accounted for this property and, instead, models uncertainty shocks as jump to the peak. The second objective is to analyze the credit channel effect on investment behavior for the U.S. and the Euro Area. To highlight the differences between the U.S. and European financial sectors, I focus on two key components of the lending channel: the risk premium associated with bank loans and the bankruptcy rates. The question I seek to answer is "How do differences in the credit channel affect investment behaviour in the U.S. and the Euro area?" I compare the U.S. and the Euro Area for my analysis as it has been shown that these two economies exhibit similar business cycle patterns but are quite different in financial structures. I am interested in whether the differences in financial structures amplifies the impact of shocks to the credit channel. I take Austria, Ireland and Spain as the representative European member states for the calibration analysis as these three countries represent three different legal systems and are known to have either low bankruptcy rate (e.g. Spain) or high risk premium (e.g. Ireland).Third, I propose a different approach to modeling the credit channel. The financial accelerator literature addresses the question "can credit constraints and (or) asymmetric information between entrepreneurs and financial intermediaries propagate and amplify business cycles?" The recent economic crisis, however, highlights the importance credit market frictions associated with household loans. Consequently, I seek to model a contract between households and financial intermediaries that is optimal for the households rather than based on an ad-hoc assumption.