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Erscheinungsjahr: 
2015
Schriftenreihe/Nr.: 
Bank of Canada Working Paper No. 2015-34
Verlag: 
Bank of Canada, Ottawa
Zusammenfassung: 
How does aggregate profit uncertainty influence investment activity at the firm level? We propose a parsimonious adaptation of a factor-autoregressive conditional heteroscedasticity model to exploit information in a subindustry sales panel for an efficient and tractable estimation of aggregate volatility. The resulting uncertainty measure is then included in an investment forecasting model interacted with firm-specific coefficients. We find that higher profit uncertainty induces firms to lower capital expenditure on average, yet to a considerably different degree: for example, both small and large firms are expected to reduce investment much more than medium-sized firms. This highlights significant and substantial heterogeneity in the uncertainty transmission mechanism.
Schlagwörter: 
Econometric and statistical methods
International topics
Domestic demand and components
JEL: 
E22
D80
C22
C23
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