The thesis consists of three essays on real and financial effects of uncertainty shocks. The first chapter investigates two different news-based uncertainty indices, Economic Policy Uncertainty Index (EPU) and Relative Sentiment Shift Index (RSS). I employ reduced form VAR and local projections...

We investigate how corporate stock returns respond to geopolitical risk in the case of South Korea, which has experienced large and unpredictable geopolitical swings that originate from North Korea. To do so, a monthly index of geopolitical risk from North Korea (the GPRNK index) is constructed...