Investment and uncertainty in a quadratic adjustment cost model: evidence from Brazil

Detalhes bibliográficos
Autor(a) principal: Pereira,Rodrigo M.
Data de Publicação: 2001
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Revista Brasileira de Economia (Online)
Texto Completo: http://old.scielo.br/scielo.php?script=sci_arttext&pid=S0034-71402001000200006
Resumo: This paper assesses empirically the sign of the uncertainty-investment relation in Brazil within a quadratic adjustment cost model. It is shown that these variables are negatively related in the Brazilian economy. The implication is that investment can be enlarged with the adoption of a sustainable macroeconomic policy that rules out uncertainty-yielding shocks, such as a huge devaluation in domestic currency, or defaults in internal and external debts. The paper also proposes a method for estimating the quadratic adjustment cost model when the endogenous variable is I(2) and the forcing variables are I(1). Since capital stock is typically an I(2) variable, the econometric insight seems particularly suited for models of investment.
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spelling Investment and uncertainty in a quadratic adjustment cost model: evidence from Brazilaggregate investmentquadratic adjustment costintegrated variablesgarch-constructed uncertaintyThis paper assesses empirically the sign of the uncertainty-investment relation in Brazil within a quadratic adjustment cost model. It is shown that these variables are negatively related in the Brazilian economy. The implication is that investment can be enlarged with the adoption of a sustainable macroeconomic policy that rules out uncertainty-yielding shocks, such as a huge devaluation in domestic currency, or defaults in internal and external debts. The paper also proposes a method for estimating the quadratic adjustment cost model when the endogenous variable is I(2) and the forcing variables are I(1). Since capital stock is typically an I(2) variable, the econometric insight seems particularly suited for models of investment.Fundação Getúlio Vargas2001-04-01info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersiontext/htmlhttp://old.scielo.br/scielo.php?script=sci_arttext&pid=S0034-71402001000200006Revista Brasileira de Economia v.55 n.2 2001reponame:Revista Brasileira de Economia (Online)instname:Fundação Getulio Vargas (FGV)instacron:FGV10.1590/S0034-71402001000200006info:eu-repo/semantics/openAccessPereira,Rodrigo M.eng2006-08-16T00:00:00Zoai:scielo:S0034-71402001000200006Revistahttp://bibliotecadigital.fgv.br/ojs/index.php/rbe/issue/archivehttps://old.scielo.br/oai/scielo-oai.php||rbe@fgv.br1806-91340034-7140opendoar:2006-08-16T00:00Revista Brasileira de Economia (Online) - Fundação Getulio Vargas (FGV)false
dc.title.none.fl_str_mv Investment and uncertainty in a quadratic adjustment cost model: evidence from Brazil
title Investment and uncertainty in a quadratic adjustment cost model: evidence from Brazil
spellingShingle Investment and uncertainty in a quadratic adjustment cost model: evidence from Brazil
Pereira,Rodrigo M.
aggregate investment
quadratic adjustment cost
integrated variables
garch-constructed uncertainty
title_short Investment and uncertainty in a quadratic adjustment cost model: evidence from Brazil
title_full Investment and uncertainty in a quadratic adjustment cost model: evidence from Brazil
title_fullStr Investment and uncertainty in a quadratic adjustment cost model: evidence from Brazil
title_full_unstemmed Investment and uncertainty in a quadratic adjustment cost model: evidence from Brazil
title_sort Investment and uncertainty in a quadratic adjustment cost model: evidence from Brazil
author Pereira,Rodrigo M.
author_facet Pereira,Rodrigo M.
author_role author
dc.contributor.author.fl_str_mv Pereira,Rodrigo M.
dc.subject.por.fl_str_mv aggregate investment
quadratic adjustment cost
integrated variables
garch-constructed uncertainty
topic aggregate investment
quadratic adjustment cost
integrated variables
garch-constructed uncertainty
description This paper assesses empirically the sign of the uncertainty-investment relation in Brazil within a quadratic adjustment cost model. It is shown that these variables are negatively related in the Brazilian economy. The implication is that investment can be enlarged with the adoption of a sustainable macroeconomic policy that rules out uncertainty-yielding shocks, such as a huge devaluation in domestic currency, or defaults in internal and external debts. The paper also proposes a method for estimating the quadratic adjustment cost model when the endogenous variable is I(2) and the forcing variables are I(1). Since capital stock is typically an I(2) variable, the econometric insight seems particularly suited for models of investment.
publishDate 2001
dc.date.none.fl_str_mv 2001-04-01
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
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status_str publishedVersion
dc.identifier.uri.fl_str_mv http://old.scielo.br/scielo.php?script=sci_arttext&pid=S0034-71402001000200006
url http://old.scielo.br/scielo.php?script=sci_arttext&pid=S0034-71402001000200006
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 10.1590/S0034-71402001000200006
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv text/html
dc.publisher.none.fl_str_mv Fundação Getúlio Vargas
publisher.none.fl_str_mv Fundação Getúlio Vargas
dc.source.none.fl_str_mv Revista Brasileira de Economia v.55 n.2 2001
reponame:Revista Brasileira de Economia (Online)
instname:Fundação Getulio Vargas (FGV)
instacron:FGV
instname_str Fundação Getulio Vargas (FGV)
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institution FGV
reponame_str Revista Brasileira de Economia (Online)
collection Revista Brasileira de Economia (Online)
repository.name.fl_str_mv Revista Brasileira de Economia (Online) - Fundação Getulio Vargas (FGV)
repository.mail.fl_str_mv ||rbe@fgv.br
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