The impact of short- And long-run exchange rate uncertainty on investment: A panel study of industrial countries

Oxford Bulletin of Economics and Statistics

Volumn 67, Issue 3, 2005, Pages 307-329

  Byrne, Joseph P ^a   Davis, E Philip ^b,c  

^a UNIVERSITY OF STRATHCLYDE   (United Kingdom)

^b BRUNEL UNIVERSITY   (United Kingdom)

^c NATIONAL INSTITUTE OF ECONOMIC AND SOCIAL RESEARCH   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 19844379438     PISSN: 03059049     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.1468-0084.2005.00121.x     Document Type: Review

References (43)

1. Abel, A. (1983). 'Optimal investment under uncertainty', American Economic Review, Vol. 73, pp. 228-233.
2. Ashworth, P. D. and Davis, E. P. (2001). Some Evidence on Financial Factors in the Determination of Aggregate Business Investment for the G7 Countries, NIESR Discussion Paper No. 187.
3. Ball, L. and Cecchetti, S. (1990). 'Inflation and uncertainty at short and long horizons', Brookings Paper on Economic Activity, Vol. 1, pp. 215-254.
4. Baum, C. F., Caglayan, M. and Barkoulas, J. T. (2001). 'Exchange rate uncertainty and firm profitability', Journal of Macroeconomics, Vol. 23, pp. 565-576.
5. Bean, C. (1981). 'An econometric model of manufacturing investment in the UK', Economic Journal, Vol. 91, pp. 106-121.
6. Beveridge, S. and Nelson, C. R. (1981). 'New approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the "Business Cycle"', Journal of Monetary Economics, Vol. 7, pp. 151-174.
7. Bloom, N., Bond, S. and Van Reenen, J. (2001). The Dynamics of Investment Under Uncertainty, Institute for Fiscal Studies WP01/05.
8. Bollerslev, T. (1986). 'Generalized autoregressive conditional heteroscedasticity', Journal of Econometrics, Vol. 31, pp. 307-327.
9. Byrne, J. P. and Davis, E. P. (2002). Investment and Uncertainty in the G7, NIESR Discussion Paper No. 198, Weltwirtschaftliches Archiv, forthcoming.
10. Byrne, J. P. and Davis, E. P. (2003). Panel Estimation of the Impact of Exchange Rate Uncertainty on Investment in the Major Industrialised Countries, NIESR Discussion Paper No. 208.
11. Byrne, J. P. and Davis, E. P. (2004). 'Permanent and temporary inflation uncertainty and investment in the United States', Economics Letters, Vol. 85, pp. 271-277.
12. Callen, T. S., Hall, S. G. and Henry, S. G. B. (1990). 'Manufacturing stocks, expectations, risk and cointegration', Economic Journal, Vol. 100, pp. 756-772.
13. Carruth, A., Dickerson, A. and Henley, A. (2000). 'What do we know about investment under uncertainty?', Journal of Economic Surveys, Vol. 14, pp. 119-153.
14. Chadha, J. S. and Sarno, L. (2002). 'Short- and long-run price level uncertainty under different monetary policy regimes: an international comparison', Oxford Bulletin of Economics and Statistics, Vol. 64, pp. 183-212.
15. Darby, J., Hughes Hallett, A., Ireland, J. and Piscatelli, L. (1999). 'The impact of exchange rate uncertainty on the level of investment', Economic Journal, Vol. 109, pp. C55-C67.
16. Darby, J., Hughes Hallett, A., Ireland, J. and Piscatelli, L. (2002). Exchange Rate Uncertainty, Price Misalignments and Business Sector Investment, University of Strathclyde, Mimeo.
17. Dixit, A. and Pindyck, R. S. (1994). Investment Under Uncertainty, Princeton University Press, Princeton.
18. Driver, C. and Moreton, D. (1991). 'The influence of uncertainty on aggregate spending', Economic Journal, Vol. 101, pp. 1452-1459.
19. Driver, C. and Urga, G. (2002). Cross-Section vs Time Series Measures of Uncertainty, Imperial College, Mimeo.
20. Elliott, G., Rothemberg, T. J. and Stock, J. H. (1996). 'Efficient tests for an autoregressive unit root', Econometrica, Vol. 64, pp. 813-836.
21. Engle, R. F. (1982). 'Autoregressive conditional heteroscedasticity with estimates of the variance of UK inflation', Econometrica, Vol. 50, pp. 987-1008.
22. Engle, R. F. and Lee, G. J. (1999). 'A long run and short run component model of stock return volatility', in Engle R. F. and White H. (eds), Cointegration, Causality and Forecasting: A Festschrift in Honour of Clive W. J. Granger, Oxford University Press, Oxford, pp. 475-497.
23. Episcopes, A. (1995). 'Evidence on the relationship between uncertainty and aggregate investment', Quarterly Journal of Economics and Finance, Vol. 35, pp. 41-52.
24. Flood, R. and Rose, A. K. (1995). 'Fixing exchange rates: a virtual quest for fundamentals', Journal of Monetary Economics, Vol. 36, pp. 3-37.
25. Goldberg, L. S. (1993). 'Exchange rates and investment in United States industry', Review of Economics and Statistics, Vol. 75, pp. 575-589.
26. Hartman, R. (1972). 'The effect of price and cost uncertainty on investment', Journal of Economic Theory, Vol. 5, pp. 258-266.
27. Hsiao, C. (2003). Analysis of Panel Data, 2nd edn, Cambridge University Press, Cambridge.
28. Huizinga, H. (1993). 'Inflation uncertainty, relative price uncertainty and investment in US manufacturing', Journal of Money, Credit and Banking, Vol. 25, pp. 521-554.
29. Kenen, P. and Rodrick, D. (1986). 'Measuring and analysing the effect of short term volatility in exchange rates', Review of Economics and Statistics, Vol. 68, pp. 311-319.
30. Leahy, J. and Whited, T. (1996). 'The effects of uncertainty on investment: some stylised facts', Journal of Money, Credit and Banking, Vol. 28, pp. 64-83.
31. Lee, J. and Shin, K. (2001). 'The role of variable input in the relationship between investment and uncertainty', American Economic Review, Vol. 90, pp. 667-680.
32. Moore, B. and Schaller, L. (2002). 'Persistent and transitory shocks, learning, and investment dynamics', Journal of Money, Credit and Banking, Vol. 34, pp. 650-677.
33. Nelson, D. B. (1991). 'Conditional heteroscedasticity in asset returns; a new approach', Econometrica, Vol. 59, pp. 347-370.
34. Ng, S. and Perron, P. (2001). 'Lag length selection and the construction of unit root tests with good size and power', Econometrica, Vol. 69, pp. 1519-1554.
35. Nucci, F. and Pozzolo, A. F. (2001). 'Investment and the exchange rate: an analysis with firm-level panel data', European Economic Review, Vol. 45, pp. 259-283.
36. Pesaran, M. H. and Smith, R. (1995). 'Estimating long-run relationships from dynamic heterogeneous panels', Journal of Econometrics, Vol. 68, pp. 79-113.
37. Pesaran, M. H., Smith, R. and Im, K.-S, (1996). 'Dynamic linear models for heterogeneous panels', in Matyas L. and Sevestre P. (eds), The Econometrics of Panel Data, Kluwer Academic Publishers, Dordrecht, 2nd Edition.
38. Pesaran, M. H., Smith, R. P. and Akiyama, T. (1998). Energy Demand in Asian Developing Countries, Oxford University Press and the World Bank, Oxford.
39. Pesaran, M. H., Shin, Y. and Smith, R. (1999). 'Pooled mean group estimation of dynamic heterogeneous panels', Journal of the American Statistical Association, Vol. 94, pp. 621-634.
40. Price, S. (1995). 'Aggregate uncertainty, capacity utilization and manufacturing investment', Applied Economics, Vol. 27, pp. 147-154.
41. Serven, L. (2003). 'Real exchange rate uncertainty and private investment in developing countries', Review of Economics and Statistics, Vol. 85, pp. 212-217.
42. Smith, R. P. and Fuertes, A.-M. (2003). Panel Time Series, IPS, CEMMAP, mimeo.
43. Tobin, J. (1969). 'A general equilibrium approach to monetary theory', Journal of Money, Credit and Banking, Vol. 1, pp. 15-29.