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Exploring the role of uncertainty for corporate investment decisions in Germany

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  • von Kalckreuth, Ulf

Abstract

The impact of uncertainty on firms? investment outlays is subject to an ongoing debate. Theory identifies several channels. Irreversibility, financing constraints and risk aversion make a negative relationship between uncertainty and investment likely. On the other hand, the ability of firms to adapt after uncertainty is resolved can make a risky strategy more attractive. Therefore, risk may also constitute an incentive to invest. The net effect is theoretically indeterminate. The empirical literature has not yet been able to settle the question. This paper studies the impact of uncertainty on firm?s investment outlays using the database of the Deutsche Bundesbank's corporate balance sheet statistics. Our database represents roughly 75% of the total turnover of the west German manufacturing sector. The sample used for estimation contains 6,745 firms with almost 50,000 observations, covering the years 1987 - 1997. This is a period long enough to generate measures of uncertainty specific to both firm and time. Using panel econometric methods, we estimate the effect of sales uncertainty and cost uncertainty on investment demand. We obtain two key results. First, there is a moderately strong and consistently negative effect of uncertainty on investment. If both uncertainty indicators are increased by one standard deviation, the estimated investment demand will fall by 6?% of its mean. Furthermore, it emerges that sales uncertainty and cost uncertainty are of equal importance for investment: both our indicators contribute about 3 percentage points to the total reduction of investment. -- Der Einfluss von Unsicherheit auf das Investitionsverhalten von Unternehmen ist Gegenstand einer fortdauernden Diskussion. Theoretische Überlegungen zeigen eine Reihe möglicher Kanäle auf. Einerseits lassen Irreversibilitäten, Finanzierungsrestriktionen und Risikoaversion eine dämpfende Wirkung erwarten. Auf der anderen Seite kann die Fähigkeit von Unternehmen, sich nach Auflösung der Unsicherheit den neuen Gegebenheiten in optimaler Weise anzupassen, risikoreichere Alternativen vorteilhaft erscheinen lassen. Daher kann Risiko einen eigenständigen Investitionsanreiz darstellen. Die Gesamtwirkung ist theoretisch unbestimmt. Auch die empirische Literatur ist bislang nicht zu einhelligen Ergebnissen gekommen. In dieser Arbeit wird der Einfluss von Unsicherheit auf das Investitionsverhalten mit Hilfe der Unternehmensbilanzdaten der Deutschen Bundesbank untersucht. Unser Datenbestand repräsentiert etwa 75% des gesamten Umsatzes im westdeutschen Verarbeitenden Gewerbe. Die hieraus erzeugte Stichprobe enthält 6 745 Firmen mit fast 50 000 Beobachtungen aus den Jahren 1987 - 1997. Der Zeitraum ist groß genug, um Unsicherheitsmaße zu gewinnen, die nicht nur unternehmensspezifisch sind, sondern auch in der Zeit variieren. Mit Hilfe panelökonometrischer Verfahren wird die Wirkung von Erlösunsicherheit und Kostenunsicherheit auf die Investitionsnachfrage untersucht. Hierbei ergeben sich zwei wichtige Resultate. Zum einen übt Unsicherheit einen eindeutig negativen Effekt mittlerer Stärke aus. Erhöht man beide Unsicherheitsindikatoren jeweils um eine Standardabweichung, so verringert sich die geschätzte Investitionsnachfrage hierdurch um 6?% des Mittelwerts. Weiterhin zeigt sich, daß Absatz- und Kostenunsicherheit für die Investitionsnachfrage von gleicher Bedeutung sind: Beide Indikatoren tragen rund 3 Prozentpunkte zu dem geschätzten Investitionsrückgang bei.

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Bibliographic Info

Paper provided by Deutsche Bundesbank, Research Centre in its series Discussion Paper Series 1: Economic Studies with number 2000,05.

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Date of creation: 2000
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Handle: RePEc:zbw:bubdp1:4141

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Keywords: Investition; Unsicherheit; Panelökonometrie; Investment; Uncertainty; Panel Estimation;

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