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Periodical article | Leiden University catalogue | WorldCat |
Title: | Macroeconomic uncertainty and aggregate private investment in South Africa |
Author: | Kumo, Wolassa L. |
Year: | 2006 |
Periodical: | South African Journal of Economics |
Volume: | 74 |
Issue: | 2 |
Pages: | 190-204 |
Language: | English |
Geographic term: | South Africa |
Subjects: | risk investments |
External link: | https://onlinelibrary.wiley.com/doi/10.1111/j.1813-6982.2006.00071.x/pdf |
Abstract: | Using adjusted quarterly time series data for the period 1975-2003, this paper investigates the effects of time varying uncertainty on aggregate private fixed investment in South Africa. The GARCH (general autoregressive conditional heteroskedasticity) generated measures of volatility of selected macroeconomic variables indicating five measures of uncertainty are used in the analysis. These are output growth uncertainty, uncertainty about changes in the real effective exchange rate, uncertainty about changes in the real interest rate, producer inflation uncertainty, and terms of trade uncertainty. The results of the estimation by an empirical Error Correction Model (ECM) of conventional investment determinants controlling for the effects of uncertainty indicated that, over all, time varying macroeconomic uncertainty significantly reduces private fixed investment. App., bibliogr., note, sum. [Journal abstract] |