Real-Exchange-Rate Uncertainty and Private Investment in LDCS
用跨国时间序列数据发现，实际汇率不确定性对发展中国家私人投资有显著负面影响，且这种影响在高度开放和金融体系不发达的经济体中更大。
This paper examines empirically the link between real-exchange-rate uncertainty and private investment in developing countries, using a large cross-country time series data set. The paper builds a GARCH-based measure of real-exchange-rate volatility and finds that it has a strong negative effect on investment, after controlling for other standard investment determinants and taking into account their potential endogeneity. The effect of uncertainty is not uniform, however. There is some evidence of threshold effects, so that uncertainty only matters when it exceeds some critical level. In addition, the negative effect of real-exchange-rate uncertainty on investment is significantly larger in economies that are highly open and in those with less developed financial systems. © 2003 President and Fellows of Harvard College and the Massachusetts Institute of Technology.