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TIMING OF UNCERTAINTY SHOCKS AND FIRMS' INVESTMENT DECISIONS: MIXED FREQUENCY ANALYSIS

Abstract Details

2018, MA, Kent State University, College of Business and Entrepreneurship, Ambassador Crawford / Department of Economics.
Economic uncertainty and its effect on economic activity has become a popular topic in recent economic literature. Although the impact of economic uncertainty on macroeconomic indicators receives most of the attention, its influence on firm-level decisions remains less clear and requires more study. Recent development in econometrics methodology allows to analyze data with different frequencies and draw conclusions about specific effects of uncertainty based on timing of shock occurrence. Built on the available knowledge on measures of uncertainty, our empirical study is aimed to investigate the effect of macroeconomic and financial uncertainty on firms' decision regarding allocation of financial resources towards capital expenditures. Employing mixed frequency vector autoregressive process model (MF-VAR), we look at the difference of firms’ response to various timing of uncertainty shocks. Firm-level data is aggregated based on sector classification, which allows us to track industry-specific variations in responses and offer their interpretation based on the difference in terms of industry competitiveness and other characteristics of various industries. The thesis is organized as follows. The literature review of the relevant recent publications is followed by discussion of analytical framework, including mixed frequency vector autoregressive (MF-VAR) model. Report of empirical analysis includes description of data sample and main empirical results. The thesis is concluded with the summary of findings and suggestion for research questions to further understanding of the topic.
Dandan Liu (Advisor)
Michael Ellis (Committee Member)
Jeremiah Harris (Committee Member)
45 p.

Recommended Citations

Citations

  • Savka, A. (2018). TIMING OF UNCERTAINTY SHOCKS AND FIRMS' INVESTMENT DECISIONS: MIXED FREQUENCY ANALYSIS [Master's thesis, Kent State University]. OhioLINK Electronic Theses and Dissertations Center. http://rave.ohiolink.edu/etdc/view?acc_num=kent1545007562487854

    APA Style (7th edition)

  • Savka, Andriy. TIMING OF UNCERTAINTY SHOCKS AND FIRMS' INVESTMENT DECISIONS: MIXED FREQUENCY ANALYSIS. 2018. Kent State University, Master's thesis. OhioLINK Electronic Theses and Dissertations Center, http://rave.ohiolink.edu/etdc/view?acc_num=kent1545007562487854.

    MLA Style (8th edition)

  • Savka, Andriy. "TIMING OF UNCERTAINTY SHOCKS AND FIRMS' INVESTMENT DECISIONS: MIXED FREQUENCY ANALYSIS." Master's thesis, Kent State University, 2018. http://rave.ohiolink.edu/etdc/view?acc_num=kent1545007562487854

    Chicago Manual of Style (17th edition)