Empirical examination of investment under uncertainty

Kazuki Tomioka

Research output: ThesisMaster's Thesis

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Abstract

The thesis presents two essays investigating the empirical relationship between investment and uncertainty . Both essays employ state-of-the -art mathemat ical and statistical techniques to investigate the dynamic relationship between investment and uncertainty . In the first essay, novel statistical methods are used to identify a cyclical relationship between investment and uncertainty, ultimately finding that (i) uncertainty is negatively related to investment and (ii) the 2008 financial crisis resulted in considerable changes to their relationship. The second essay, coauthored with Leandro M. Magnusson, builds on the first essay by studying the time variations in investment dynamics under uncertainty. We show that when such variations are taken into account, it is possible to reconcile the theoretical debate about the sign of the relationship between investment and uncertainty. Furthermore, we also find that the effects of uncertainty shocks on the economy have intensified since the Great Recession. which reflects on the slow economic recovery since then.
Original languageEnglish
QualificationMasters
Awarding Institution
  • The University of Western Australia
Thesis sponsors
Award date14 Nov 2018
DOIs
Publication statusUnpublished - 2018

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Investment under uncertainty
Uncertainty
Time variation
Great Recession
Statistical methods
Economic recovery
Financial crisis

Cite this

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title = "Empirical examination of investment under uncertainty",
abstract = "The thesis presents two essays investigating the empirical relationship between investment and uncertainty . Both essays employ state-of-the -art mathemat ical and statistical techniques to investigate the dynamic relationship between investment and uncertainty . In the first essay, novel statistical methods are used to identify a cyclical relationship between investment and uncertainty, ultimately finding that (i) uncertainty is negatively related to investment and (ii) the 2008 financial crisis resulted in considerable changes to their relationship. The second essay, coauthored with Leandro M. Magnusson, builds on the first essay by studying the time variations in investment dynamics under uncertainty. We show that when such variations are taken into account, it is possible to reconcile the theoretical debate about the sign of the relationship between investment and uncertainty. Furthermore, we also find that the effects of uncertainty shocks on the economy have intensified since the Great Recession. which reflects on the slow economic recovery since then.",
keywords = "Investment, Uncertainty, Bayesian inference",
author = "Kazuki Tomioka",
year = "2018",
doi = "10.26182/5c105ad2b7392",
language = "English",
school = "The University of Western Australia",

}

Tomioka, K 2018, 'Empirical examination of investment under uncertainty', Masters, The University of Western Australia. https://doi.org/10.26182/5c105ad2b7392

Empirical examination of investment under uncertainty. / Tomioka, Kazuki.

2018.

Research output: ThesisMaster's Thesis

TY - THES

T1 - Empirical examination of investment under uncertainty

AU - Tomioka, Kazuki

PY - 2018

Y1 - 2018

N2 - The thesis presents two essays investigating the empirical relationship between investment and uncertainty . Both essays employ state-of-the -art mathemat ical and statistical techniques to investigate the dynamic relationship between investment and uncertainty . In the first essay, novel statistical methods are used to identify a cyclical relationship between investment and uncertainty, ultimately finding that (i) uncertainty is negatively related to investment and (ii) the 2008 financial crisis resulted in considerable changes to their relationship. The second essay, coauthored with Leandro M. Magnusson, builds on the first essay by studying the time variations in investment dynamics under uncertainty. We show that when such variations are taken into account, it is possible to reconcile the theoretical debate about the sign of the relationship between investment and uncertainty. Furthermore, we also find that the effects of uncertainty shocks on the economy have intensified since the Great Recession. which reflects on the slow economic recovery since then.

AB - The thesis presents two essays investigating the empirical relationship between investment and uncertainty . Both essays employ state-of-the -art mathemat ical and statistical techniques to investigate the dynamic relationship between investment and uncertainty . In the first essay, novel statistical methods are used to identify a cyclical relationship between investment and uncertainty, ultimately finding that (i) uncertainty is negatively related to investment and (ii) the 2008 financial crisis resulted in considerable changes to their relationship. The second essay, coauthored with Leandro M. Magnusson, builds on the first essay by studying the time variations in investment dynamics under uncertainty. We show that when such variations are taken into account, it is possible to reconcile the theoretical debate about the sign of the relationship between investment and uncertainty. Furthermore, we also find that the effects of uncertainty shocks on the economy have intensified since the Great Recession. which reflects on the slow economic recovery since then.

KW - Investment

KW - Uncertainty

KW - Bayesian inference

U2 - 10.26182/5c105ad2b7392

DO - 10.26182/5c105ad2b7392

M3 - Master's Thesis

ER -