Macroeconomic uncertainty and private investment in LDCs: an empirical investigation
World Bank, Development Research Group, Macroeconomic and Growth, 1998 - Business & Economics - 33 pages
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2SLS estimates 3-period MAD 3-period standard deviation adjustment costs aggregate investment Aizenman and Marion average OLS conditional variances country-specific effects dependent variable developing countries deviation of AR(1 econometric economic variables effect on investment empirical studies endogeneity estimates in columns fixed investment forecast errors full-sample GARCH GARCH-based GDP deflator GDP growth GMM estimator heterogeneity across countries heterogeneous estimates impact of uncertainty impact on investment individual-country estimates inflation rate instruments irreversibility lagged values macroeconomic uncertainty MAD of AR(1 measure of uncertainty measures of macroeconomic negative association negative effect Number of observations OLS estimates panel data paper parameter heterogeneity percent level pooled estimates price of capital principal component private investment ratio real exchange rate real interest rate regressions regressors relative price risk aversion sample specification standard investment determinants stylized facts System GMM Table terms of trade uncertainty measures uncertainty on investment uncertainty on private variables of interest volatility measures Wald test