Titolo della tesi: Essays on economic Uncertainty
The thesis is composed of 3 different works: the first is a literature review that compares the notion of Knightian uncertainty with the contemporary literature on uncertainty shocks.
The second investigates the relation between the risk in Italian sovereign bonds and financial markets. In particular, we deepen the effect of the stock market's volatility shocks on the CDS on government bonds, noticing that these shocks have a strict connection to political uncertainty. With a proper identification strategy, is possible to disentangle an uncertainty shock from a generic financial shock. The main finding consists in the fact that the dynamics of CDS on Italian government bonds is driven by uncertainty shocks defined as non-fundamental a component of the CDS dynamics, rather than negative financial shocks. An additional result is decomposing the non-fundamental component of the CDS dynamics in two orthogonal shocks, the first is identified as uncertainty the second refers to market operators' confidence. The role of news in generating uncertainty shocks is emphasized by the non-linearities introduced in the identification. The purpose of the third essay is to question if Bitcoin is counter-cyclical or not, to address this question the reaction of Bitcoin and Gold returns with respect to a contemporaneous increase of the VIX index. To accomplish the paper proposes an innovative structural analysis based on an identification scheme able to check contemporaneously the response of the first and second moment of asset returns to the shocks of the financial uncertainty index VIX. The results show that BTC is not properly a safe asset at least in the short term, and its behavior in crises like the Covid-19 period can be mainly ascribed to its highly speculative nature and technical reasons.