Επένδυση υπό συνθήκες αβεβαιότητας

Abstract

The purpose of this thesis is to model the impact of uncertainty on the investment decisions of firms in Europe and in Greece. To do so, the thesis builds a dynamic investment model, where financial variables, uncertainty and real investment are linked. In the absence of deviations from the neoclassical paradigm investment reacts positively to uncertainty. However, as frictions are introduced such as imperfect competition, irreversibility of capital and decreasing returns-to-scale, the positive sign of the investment-uncertainty relationship gradually dies out and eventually turns negative. Furthermore, this thesis provides empirical evidence in favour of the theoretical prediction by Lee and Shin (2000) that uncertainty may exert a non-uniform impact on investment as decision makers' production functions exhibit differential labour shares. Alternative measures of capital irreversibility are employed, stemming from either the technological or the transactional nature of irreversibility. The technology-based definition views irreversibility in terms of the ability to substitute labour for capital. From a transactions-based concept, data on used capital investment expenditures and leasing penetration rates are employed as indirect indicators for the degree of irreversibility. Consistent with the relevant literature, the empirical results indicate that the negative effect of uncertainty on investment is monotonically increasing with the degree of irreversibility. The extant literature focusing on the impact of uncertainty on investment has largely ignored capital heterogeneity. This thesis fills this apparent gap having as departure point the fact that in the presence of multiple capital goods total investment rate is the product of the extensive and intensive margins. Then building on the argument that uncertainty affects directly the extensive margin we empirically explore their relationship. Our main results indicate that uncertainty exerts a significantly negative impact on the number of capital types (extensive margin) the decision maker decides to invest in. In contrast the depth of investment (intensive margin) is found to be insensitive to uncertainty. We employ a dynamic panel data methodology, the GMM estimation technique, on a panel data set at an industrial level for most of the continental European countries for the periods 1987-2002, 1989-2004 and 1995-2003. In addition, a panel data set of Greek manufacturing industries is also exploited over the period 1993-2001. Finally, conditional volatility is generated in a panel framework applying the Pooled-Panel GARCH method.