iInvestment, uncertainty, panel estimation, components, GARCH

Publication date: 14 May 2003 | Publication type: NIESR Discussion Paper | Theme: Trade, Investment & Productivity | Authors: Davis, P | External authors: Byrne, J | JEL classification: E22, F31 | NIESR discussion paper number: 208
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...