G2TT
来源类型Working Paper
规范类型报告
DOI10.3386/w5841
来源IDWorking Paper 5841
Volatility and the Investment Response
Joshua Aizenman; Nancy P. Marion
发表日期1996-11-01
出版年1996
语种英语
摘要We use the World Bank decomposition of aggregate investment shares into their private and public components to test for the correlation between volatility and investment in a set of developing countries. We uncover a statistically significant negative correlation between various volatility measures and private investment, even when adding the standard control variables. No such correlation is uncovered when the investment measure is the sum of private and public investment spending. Indeed, public investment spending is positively correlated with some measures of volatility. We also use the new World Bank data to redo the Ramey and Ramey (1995) test for a correlation between investment and the standard deviation of innovations to a forecasting equation for growth. While Ramey and Ramey found no significant correlation using aggregate investment data, we find a negative and highly significant relationship between innovation volatility and private investment in developing countries. These findings suggest that the detrimental impact of volatility on investment may be difficult to detect using aggregate data.
主题International Economics ; International Factor Mobility ; Macroeconomics ; Consumption and Investment
URLhttps://www.nber.org/papers/w5841
来源智库National Bureau of Economic Research (United States)
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条目标识符http://119.78.100.153/handle/2XGU8XDN/563335
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Joshua Aizenman,Nancy P. Marion. Volatility and the Investment Response. 1996.
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