Abstract This paper investigates the international transmission of various sources of uncertainty between the financial sector and the real economy. I focus on calibrating a two-country DGSE model with an international financial exposure in the banking sector for the Euro Area (EA) and the United States (US). In particular, the model studies the transmission mechanism of macroeconomic, monetary policy, financial and stock market volatility uncertainty. The model assumes that uncertainty originates in the foreign economy (US), and studies the spillover effect to the domestic economy (EA). The international transmission mechanism is driven by the international financial exposures, where domestic banks hold foreign banks’ assets as a second market activity. The analysis suggests that the spillover effects from foreign uncertainty have in many cases a sizeable and persistent impact on output, lending and asset prices. In particular, I find that macroeconomic and monetary policy uncertainty drive a global business cycle, where uncertainty leads to a drop in home and foreign GDP. Finally, the paper investigates the effectiveness of macroprudential policy when there is higher uncertainty about the policy rate in a foreign economy. Results show that both domestic and cooperative regulations, where both countries implement caps to the loan-to-value ratio, are enable to reduce the negative impact on GDP that such a shock produces.

中文翻译：

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不确定性对与国际金融敞口的宏观金融联系的影响

摘要本文研究了金融部门与实体经济之间各种不确定性来源的国际传递。我专注于用欧元区（EA）和美国（US）在银行业中具有国际金融敞口的两个国家DGSE模型进行校准。该模型特别研究了宏观经济，货币政策，金融和股市波动不确定性的传导机制。该模型假设不确定性源于外国经济（美国），并研究了对国内经济的溢出效应（EA）。国际传导机制是由国际金融风险驱动的，国内银行将外国银行的资产作为第二种市场活动。分析表明，外国不确定性的溢出效应在许多情况下对产出，贷款和资产价格产生了巨大而持久的影响。我特别发现，宏观经济和货币政策的不确定性推动了全球商业周期，其中不确定性导致本国和外国GDP下降。最后，本文研究了在外国经济中政策利率存在较大不确定性时的宏观审慎政策的有效性。结果表明，无论是国内还是合作法规，只要两国都对贷款与价值之比实施上限，就可以减少这种冲击对国内生产总值的负面影响。不确定性导致本国和外国GDP下降。最后，本文研究了在外国经济中政策利率存在较大不确定性时的宏观审慎政策的有效性。结果表明，无论是国内还是合作法规，只要两国都对贷款与价值之比实施上限，就可以减少这种冲击对国内生产总值的负面影响。不确定性导致本国和外国GDP下降。最后，本文研究了在外国经济中政策利率存在较大不确定性时的宏观审慎政策的有效性。结果表明，无论是国内还是合作法规，只要两国都对贷款与价值之比实施上限，就可以减少这种冲击对国内生产总值的负面影响。