Investment and Uncertainty: A Theory‐based Empirical Approach*
利用新古典投资模型推导企业层面的不确定性指标，采用误差修正方法研究不确定性对企业资本积累的动态影响，发现短期和长期均有负效应，且不可逆约束是主要机制。
Abstract This paper provides empirical evidence on the dynamic effects of uncertainty on firm‐level capital accumulation. A novelty in this paper is that the firm‐level uncertainty indicator is motivated and derived from a theoretical model, the neoclassical investment model with time to build. This model also serves as the base for the empirical work, where an error‐correction approach is employed. I find a negative effect of uncertainty on capital accumulation, both in the short run and the long run. This outcome cannot be explained by the model alone. Instead, the results suggest that the predominant mechanism at work stems from irreversibility constraints.