Funke, Michael: Discovering the Link Between Uncertainty and Investment - Microeconometric Evidence from Germany
World Conference Econometric Society, 2000, Seattle

Hjalmar Boehm, Universitaet Hamburg
Michael Funke, Universitaet Hamburg
Nikolaus A. Siegfried, Universitaet Hamburg
Discovering the Link Between Uncertainty and Investment - Microeconometric Evidence from Germany
Session: C-9-22  Monday 14 August 2000  by Funke, Michael
We analyse empirically the effect of uncertainty on the investment decisions of a sample of quoted German firms. The uncertainty measures are constructed by employing two procedures: the conventional formula of standard deviation, and the GARCH methodology. We find that uncertainty exerts a significantly negative effect on investment, i.e. uncertainty slows down capital accumulation. We also find that this negative relationship is closely related to the degree of market power of the firm.
Submitted paper full-text in .pdf


File created by Jurgen Doornik with eswc2000.ox on 2-01-2001