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| Title: | Panel estimation of the impact of exchange rate uncertainty on investment in the major industrial countries |
| Authors: | Byrne, JP
Davis, EP |
| Keywords: | Investment
Uncertainty
Panel Estimation
Components GARCH |
| Publication Date: | 2003 |
| Publisher: | Brunel University |
| Citation: | Economics and Finance Working papers, Brunel University, 03-05 |
| Abstract: | We estimate the impact of exchange rate uncertainty on investment, using panel estimation
featuring a decomposition of exchange rate volatility derived from the components
GARCH model of Engle and Lee (1999). For a poolable subsample of EU countries, it is
the transitory and not the permanent component of volatility which adversely affects
investment, implying high frequency shocks of the type that may be generated by volatile
short term capital flows are most deleterious for investment. Results based on EGARCH
also suggest that the response of investment to exchange rate uncertainty may depend
partly on the sign of the initial shock. (100 words) |
| URI: | http://bura.brunel.ac.uk/handle/2438/947 |
| Appears in Collections: | School of Social Sciences Research Papers
Economics and Finance
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