Macroeconomic Uncertainty and Investment – Empirical Analysis for Romania

Corina Saman

Journal for Economic Forecasting, 2010, issue 2, 155-164

Abstract: From a theoretical point of view, uncertainty may have an impact on investment by different channels and in different directions. Thus, the sign of its overall effect is unknown and could be found only empirically from the historical data. This paper analyzes the relation between macroeconomic uncertainty and total investment in Romania over the period 2000-2008. As a source of uncertainty, it considers different measures of volatility in prices and exchange rate from autoregressive conditional heteroskedastic (GARCH) models. These measures are introduced as a linear and a quadratic term in the investment equation. The results prove a nonlinear effect of uncertainty on investment.

Keywords: investment; uncertainty; irreversibility; economic instability; inflation; exchange rate (search for similar items in EconPapers)
JEL-codes: C22 E22 (search for similar items in EconPapers)
Date: 2010
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
http://www.ipe.ro/rjef/rjef2_10/rjef2_10_9.pdf

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:rjr:romjef:v::y:2010:i:2:p:155-164

Access Statistics for this article

Journal for Economic Forecasting is currently edited by Lucian Liviu Albu and Corina Saman

More articles in Journal for Economic Forecasting from Institute for Economic Forecasting Contact information at EDIRC.
Bibliographic data for series maintained by Corina Saman ( this e-mail address is bad, please contact ).