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Abstract
ABSTRACT In this article, we analyse the distributional effects of macroeconomic systematic shocks on firm-level investment as well as exploring structural characteristics and dynamic evolution patterns of firm-level investment vulnerability. Two main facts are established: (1) systematic shocks have positive impacts on firm-level investments at most quantiles in the top four global manufacturing economies, implying that most firms’ investments follow the macroeconomic situation; the effect magnitude of systematic shocks on firm-level investments is much greater for firms with lower capital expenditures in the US, while the effect magnitude is much greater for firms with higher investments in China, the EU, and Japan; (2) under the impact of systematic shocks, investment vulnerability of upside firms is greater than that of downside firms; for China and Japan, their firms’ investment vulnerability exhibits a quite similar pattern.
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