IDEAS home Printed from https://ideas.repec.org/p/nsr/niesrd/208.html
   My bibliography  Save this paper

Panel Estimation of the Impact of Exchange Rate Uncertainty on Investment in the Major Industrial Countries

Author

Listed:
  • Professor E. Philip Davis
  • Joseph Byrne

Abstract

We estimate the impact of exchange rate uncertainty on investment, using panel estimation featuring a decomposition of exchange rate volatility derived from the components GARCH model of Engle and Lee (1999). For a poolable subsample of EU countries, it is the transitory and not the permanent component of volatility which adversely affects investment, implying high frequency shocks of the type that may be generated by volatile short term capital flows are most deleterious for investment. Results based on EGARCH also suggest that the response of investment to exchange rate uncertainty may depend partly on the sign of the initial shock.

Suggested Citation

  • Professor E. Philip Davis & Joseph Byrne, 2003. "Panel Estimation of the Impact of Exchange Rate Uncertainty on Investment in the Major Industrial Countries," National Institute of Economic and Social Research (NIESR) Discussion Papers 208, National Institute of Economic and Social Research.
    • Handle: RePEc:nsr:niesrd:208
    as

    Download full text from publisher

    File URL: https://www.niesr.ac.uk/wp-content/uploads/2021/10/DP208-2.pdf
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Osinubi, T. S. & Amaghionyeodiwe, L. A, 2009. "Foreign Direct Investment and Exchange Rate Volatility in Nigeria," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, vol. 9(2).

    More about this item

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:nsr:niesrd:208. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Library & Information Manager (email available below). General contact details of provider: https://edirc.repec.org/data/niesruk.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.