Uncertainty of Business Outlook and Investment: Evidence from firm-level panel data (Japanese)

This study, using a quarterly firm-level panel dataset from 2004Q2 to 2017Q1 constructed from government statistics, presents empirical findings on the uncertainty of firms' business outlook and its association with investments. According to the analysis, first, uncertainty measures calculated from the ex post forecast errors show strong seasonal fluctuations because of the existence of "unsure" as a survey response choice. Second, while the share of "unsure" response is positively correlated with the volatility of stock markets and the Economic Policy Uncertainty index, the correlations of the forecast error-based uncertainty measures with these macroeconomic uncertainty indices are very weak. Third, forecast uncertainty observed from the share of "unsure" responses heightened after the Global Financial Crisis and has remained high afterward. Fourth, at the firm level, the response of "unsure" for forecasts of one and two quarters ahead has a clear negative association with the realized investments in these quarters. This negative association is mainly driven by the uncertainty of the firms' own business outlook, but the impact of uncertainty over macroeconomic conditions is weak.