An Analysis of Long-Term Influences on Financial Markets, Uncertainty and the Sustainability of Fiscal Balances
In recent years, the world economy faced the largest economic downturn since World War II. This recession was characterized by, among others, three properties: trembling financial markets, increasing uncertainty, and, in the aftermath of the recession, exploding public debt in major industrialized economies. The joint appearance of these characteristics stresses that a profound understanding of economic dynamics and interrelations is crucial for informative policy monitoring and for the conduct of effective policy intervention. This thesis focuses on historical and recent dynamics of financial and macroeconomic data. It discusses the interrelation of financial markets and the macroeconomy, the role of uncertainty and the sustainability of public debt. Linear and nonlinear state space modeling and regression techniques are used to investigate the informational content of time series and panel data.