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(Wp 2013-06) The Impact Of Output And Exchange Rate Volatility On Fixed Private Investment: Evidence From Selected G7 Countries, Abdur Chowdhury, Mark Wheeler
(Wp 2013-06) The Impact Of Output And Exchange Rate Volatility On Fixed Private Investment: Evidence From Selected G7 Countries, Abdur Chowdhury, Mark Wheeler
Economics Working Papers
This study examines the impact of shocks to exchange rate and output uncertainty (volatility) on real private fixed investment (FI) in Canada, Germany, the United Kingdom, and the United States. The analysis is conducted using vector autoregressive models that contain the price level, real output, the volatility of real output, the real exchange rate, the volatility of the real exchange rate, an interest rate, and FI. The results yield important public policy implications with regard to the impact of output volatility of FI. Our analysis indicates that volatility shocks, measured as output volatility or exchange rate volatility, do not have …