Abstract
Is the Uncertainty-Investment Link Non-linear? Empirical Evidence for Developed Economies. - This paper examines whether the impact of uncertainty on aggregate investment differs for low and high values of uncertainty. I present two types of estimates on the impact of uncertainty, measured by the volatility of stock market returns, for a group of developed economies. First, I estimate investment models in which I include a linear and a quadratic term for uncertainty. Second, I estimate investment models in which uncertainty is a threshold variable. Both types of estimates provide evidence on the empirical relevance of a non-linear effect of uncertainty on investment.
Original language | English |
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Pages (from-to) | 131-147 |
Number of pages | 17 |
Journal | Weltwirtschaftliches Archiv=Review of world economics |
Volume | 138 |
Issue number | 1 |
DOIs | |
Publication status | Published - 2002 |
Keywords
- AGGREGATE INVESTMENT
- IRREVERSIBILITY
- VOLATILITY
- COUNTRIES
- GROWTH