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Investment and Exchange Rate Under Uncertainty

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Author Info
Vincenzo Atella () (University of Rome II - Faculty of Economics)
Gianfranco Enrico Atzeni () (University of Sassari - Dip.to di Economia Impresa e Regolamentazione)
Pier Luigi Belvisi () (Universitˆ degli Studi di Roma Tor Vergata - Faculty of Law)

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Abstract

The literature on the relationship between exchange rate and investment mainly focuses on the devaluation argument, which provides evidence that a devaluation may positively affect investment spending. The goal of this paper is to extend the analysis to how exchange rate variability can influence firm innovation process. Employing a large panel of Italian firms and using a model of signal extraction we find that exchange rate volatility reduces investment, with a decreasing sensitivity the greater the firm market power. A stable exchange rate is then an incentive to invest as it allows a more reliable estimation of its marginal productivity. To this extent, any economic system may benefit from a stable exchange rate in terms of investment and profit, provided it is able to strengthen its firm market power.

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Paper provided by Tor Vergata University, CEIS in its series CEIS Research Paper with number 32.

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Length: 16
Date of creation: 01 Aug 2003
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Handle: RePEc:rtv:ceisrp:32

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Related research
Keywords: exchange rate; firm heterogeneity; investment; uncertainty;

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Find related papers by JEL classification:
D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
E22 - Macroeconomics and Monetary Economics - - Macroeconomics: Consumption, Saving, Production, Employment, and Investment - - - Capital; Investment; Capacity
F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics
F42 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Policy Coordination and Transmission

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

  1. Campa, Jose & Goldberg, Linda, 1995. "Investment, Pass-Through and Exchange-Rates: A Cross-Country Comparison," Working Papers 95-14, C.V. Starr Center for Applied Economics, New York University. [Downloadable!]
    Other versions:
  2. Lucas, Robert E, Jr, 1973. "Some International Evidence on Output-Inflation Tradeoffs," American Economic Review, American Economic Association, vol. 63(3), pages 326-34, June.
  3. Julia Darby & Andrew Hughes Hallett & Jonathan Ireland & Laura Piscitelli, . "The Impact of Exchange Rate Uncertainty on the Level of Investment," ICMM Discussion Papers 49, Department of Economics University of Strathclyde.
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  4. Linda Goldberg & Joseph Tracy, 1999. "Exchange rates and local labor markets," Staff Reports 63, Federal Reserve Bank of New York. [Downloadable!]
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  5. Goldberg, Linda S, 1993. "Exchange Rates and Investment in United States Industry," The Review of Economics and Statistics, MIT Press, vol. 75(4), pages 575-88, November. [Downloadable!] (restricted)
  6. Nucci, Francesco & Pozzolo, Alberto F., 2001. "Investment and the exchange rate: An analysis with firm-level panel data," European Economic Review, Elsevier, vol. 45(2), pages 259-283, February. [Downloadable!] (restricted)
  7. Vincenzo Atella & Gianfranco Atzeni & Pierluigi Belvisi, 2002. "Will The Euro Be Beneficial On Firm’S Investment Behaviour?," Departmental Working Papers 180, Tor Vergata University, CEIS. [Downloadable!]
  8. Hayashi, Fumio, 1982. "Tobin's Marginal q and Average q: A Neoclassical Interpretation," Econometrica, Econometric Society, vol. 50(1), pages 213-24, January. [Downloadable!] (restricted)
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Landon, Stuart & Smith, Constance, 2007. "Investment and the exchange rate: Short run and long run aggregate and sector-level estimates," MPRA Paper 9958, University Library of Munich, Germany. [Downloadable!]
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  2. Diallo , Ibrahima Amadou, 2008. "Exchange Rate Volatility and Investment, A Panel Data Cointegration Approach," MPRA Paper 13130, University Library of Munich, Germany. [Downloadable!]
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