We analyse empirically the effect of uncertainty on fixed investment by estimating an accelerator-type investment function based on a panel data set of the Hapanese manufacturing firms. The uncertainty measure, represented by the conditional standard deviation of the sales ghrowth rate, is constructed by employing three different statistical models : the rolling regressions model, the ARCH model, and the conventional formula of standard deviation.
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Paper provided by Osaka - Institute of Social and Economic Research in its series Papers with number
436.
Length: 38 pages Date of creation: 1997 Date of revision: Handle: RePEc:fth:osakae:436
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Find related papers by JEL classification: D92 - Microeconomics - - Intertemporal Choice and Growth - - - Intertemporal Firm Choice and Growth, Investment, or Financing
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