Investigating the Link between Uncertainty and Investment - Microeconometric Evidence from Germany

Hjalmar Böhm (boehm@iws1-82.econ.uni-hamburg.de), Michael Funke and Nikolaus A Siegfried

Quantitative Macroeconomics Working Papers from Hamburg University, Department of Economics

Abstract: 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. In the econometric estimates the investment rate is shown to depend negatively on a variable that results from the interaction between uncertainty and market concentration.

Date: 2000-08
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