Investments and uncertainty revisited: the case of the US economy

This source preferred by George Filis

Authors: Degiannakis, S., Filis, G. and Palaidimos, G.

http://eprints.bournemouth.ac.uk/26272/

Journal: Applied Economics

Volume: 49

Issue: 45

Pages: 4521-4529

Publisher: Taylor & Francis (Routledge): SSH Titles

ISSN: 1466-4283

This data was imported from Scopus:

Authors: Degiannakis, S., Filis, G. and Palaiodimos, G.

http://eprints.bournemouth.ac.uk/26272/

Journal: Applied Economics

Volume: 49

Issue: 45

Pages: 4521-4529

eISSN: 1466-4283

ISSN: 0003-6846

DOI: 10.1080/00036846.2017.1284995

© 2017 Informa UK Limited, trading as Taylor & Francis Group. This article examines the relationship between investments and uncertainty for the US economy, as the latter is approximated by consumer sentiment, purchasing managers’ prospects and economic policy uncertainty. Contrary to the existing literature, we provide evidence that this relationship is time varying. The time variation is attributed to the observed temporal replacement effect between private and public investments. Furthermore, we show that there are two distinct correlation regimes in this relationship and unless we concentrate on them, we cannot fully unravel the real link between uncertainty and investments. Finally, we examine whether the use of the two correlation regimes provides better forecasts for investments compared to the use of the uncertainty indices alone. The forecasting exercise reveals that the use of correlation regimes provides statistically superior out-of-sample forecasts.

This data was imported from Web of Science (Lite):

Authors: Degiannakis, S., Filis, G. and Palaiodimos, G.

http://eprints.bournemouth.ac.uk/26272/

Journal: APPLIED ECONOMICS

Volume: 49

Issue: 45

Pages: 4521-4529

eISSN: 1466-4283

ISSN: 0003-6846

DOI: 10.1080/00036846.2017.1284995

The data on this page was last updated at 04:42 on September 20, 2017.