The impact of macroeconomic uncertainty on non-financial firms' demand for liquidity: A note
In an influential article, Baum et al. (2006) proposed a novel approach to dealing with uncertainty through conditional variability, as reflected in their Eq. (C.6) of the article. This crucial result in their Eq. (C.6) is, however, incorrect. In this Note, I provide a derivation for the correct result and perform numerical evaluations.
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- Baum, Christopher F. & Caglayan, Mustafa & Ozkan, Neslihan & Talavera, Oleksandr, 2006.
"The impact of macroeconomic uncertainty on non-financial firms' demand for liquidity,"
Review of Financial Economics,
Elsevier, vol. 15(4), pages 289-304.
- Christopher F. Baum & Mustafa Caglayan & Neslihan Ozkan & Oleksandr Talavera, 2002. "The Impact of Macroeconomic Uncertainty on Non-Financial Firms' Demand for Liquidity," Boston College Working Papers in Economics 552, Boston College Department of Economics, revised 15 Dec 2005.
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