Aggregate uncertainty, investment and asymmetric adjustment in the UK manufacturing sector

Price, Simon

doi:10.1080/000368496327633

Cited by 50 publications

(43 citation statements)

References 31 publications

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“…In the former case, researchers have used past data to compute the unconditional variance of a particular economic variable, such as sales growth, and have employed this as a proxy for uncertainty. Along similar lines, other researchers have attempted to measure uncertainty by estimating a statistical model of the underlying conditional variance of particular variables (see, for example, Huizinga, 1993;Episcopos, 1995;andPrice, 1995 and. However, the resulting autoregressive conditional heteroscedasticity-based or generalized autoregressive conditional heteroscedasticity-based measures of uncertainty would depend on the validity of these statistical models.…”

Section: Measuring Uncertaintymentioning

confidence: 99%

To Buy or Not to Buy? Uncertainty, Irreversibility and Heterogeneous Investment Dynamics in Italian Company Data

Lombardi

Bond²

2004

IMF Working Papers

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This study tests for the presence of real options effects induced by uncertainty and (partial) irreversibility on fixed capital investment usingA ggregate investment spending is an important source of fluctuations over the business cycle. A puzzling aspect of such fluctuations is that they sometimes occur in connection with relatively small shocks or policy impulses. Previous contributions on the "small-shocks, large-cycles" puzzle have focused on borrowers'

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Section: Measuring Uncertaintymentioning

confidence: 99%

To Buy or Not to Buy? Uncertainty, Irreversibility and Heterogeneous Investment Dynamics in Italian Company Data

Lombardi

Bond²

2004

IMF Working Papers

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“…A number of studies have adopted more refined measures of uncertainty (see Sérven (1998), Price (1995Price ( , 1996 and Pereira (2001)). It is argued that good proxies for uncertainty should be based on the volatility of the variable's innovations, not on its full volatility.…”

Section: Empirical Assessmentmentioning

confidence: 99%

“…1 A number of studies deal with aggregate data using time series methods (see Price (1995Price ( , 1996). There has been, however, a growing number of authors who use panel data techniques applied to groups of industrial companies (Henley, 1999), industrial sectors (Campa and Goldberg, 1993) and developing countries (Sérven, 1998, Pindyck andSolimano, 1993).…”

Section: Introductionmentioning

confidence: 99%

Investment and uncertainty in machinery and real estate

Pereira

2008

Rev. Bras. Econ.

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Investment is usually treated as an homogeneous variable in the literature. The wide differences in the nature of inputs used in investment projects may lead to interesting insights that are not captured in the conventional approach. In this paper I decompose investment in machinery and industrial real estate and examine the impact of economic uncertainty on each of these components. Using panel data estimation methods for the Brazilian industry, I found that uncertainty exerts a harmful effect on both types of investment. However, the effect is much more intense with machines, which possibly is a consequence of their high reversibility costs.
O investimento é geralmente tratado como uma variável homogênea na literatura. As grandes diferenças na natureza dos insumos empregados em projetos de investimento levam a idéias interessantes que não são capturadas pela abordagem tradicional. Nesse artigo eu decomponho o investimento em máquinas e imóveis e examino o impacto da incerteza econômica sobre cada um desses componentes. Utilizando métodos de estimação com dados em painel para a indústria brasileira, encontramos evidências de que a incerteza reduz ambos os tipos de investimento. Entretanto, o efeito parece ser mais intenso com máquinas, o que poderia ser uma conseqüência de um custo de reversibilidade mais alto

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“…Pindyck and Solimano (1993) present international aggregate cross-sectional analysis. Papers by Driver and Moreton (1991) and Price (1995Price ( , 1996 using UK aggregate data are an exception.…”

Section: Introductionmentioning

confidence: 99%

Econometric Modelling of UK Aggregate Investment: The Role of Profits and Uncertainty

Carruth

Dickerson

Henley

2000

The Manchester School

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Cuthbertson and Gasparro (1995), who study an augmented Tobin's q model of investment in the manufacturing sector. Important focal points of our analysis are a role for real profits (internal funds), which allow firms to combat liquidity constraints when access to capital markets is not perfect, Chirinko (1987), and the impact of irreversibility and uncertainty in determining aggregate investment spending. Earlier work on manufacturing investment by Bean (1981a) developed a dynamic, error correction specification based on the flexible accelerator model. Following Cuthbertson and Gasparro we use multivariate cointegration techniques to discover a parsimonious dynamic model, which can explain the 1980s and early 1990s investment experience of the ICC sector. Our results show that a model based on investment and output alone does not cointegrate, and a short-run dynamic model of these variables suffers from heteroscedasticity. This may be consistent with the idea that increased (uncontrolled for) uncertainty has led to increased volatility in investment. The possibility that movements in the real price of gold reflect uncertainty in financial and other traded commodity markets is explored. Investigation of this more general model indicates that real profits and the real price of gold can enhance the explanation of investment spending by the ICC sector. Terms of use: Documents in JEL Classification: E2

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Aggregate uncertainty, investment and asymmetric adjustment in the UK manufacturing sector

Cited by 50 publications

References 31 publications

To Buy or Not to Buy? Uncertainty, Irreversibility and Heterogeneous Investment Dynamics in Italian Company Data

To Buy or Not to Buy? Uncertainty, Irreversibility and Heterogeneous Investment Dynamics in Italian Company Data

Investment and uncertainty in machinery and real estate

Econometric Modelling of UK Aggregate Investment: The Role of Profits and Uncertainty

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