Why is micro evidence on the effects of uncertainty not replicated in macro data? /

Why is micro evidence on the effects of uncertainty not replicated in macro data? /

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Bibliographic Details
Author / Creator:	Bond, Stephen, author.
Imprint:	Washington, D.C. : International Monetary Fund, Office of the Executive Director for Italy, ©2005.
Description:	1 online resource (35 pages) : illustrations.
Language:	English
Series:	IMF working paper ; WP/05/158 IMF working paper ; WP/05/158.
Subject:	Uncertainty -- Econometric models. Investments -- Great Britain -- Econometric models. Investments -- Econometric models. Uncertainty -- Econometric models. Great Britain.
Format:	E-Resource Book
URL for this record:	http://pi.lib.uchicago.edu/1001/cat/bib/13510731

Hidden Bibliographic Details
Other authors / contributors:	Lombardi, Domenico, author. International Monetary Fund. Office of the Executive Director for Italy, issuing body.
ISBN:	1283512939 9781283512930 9781451907131 1451907133 1462304427 9781462304424 1452719896 9781452719894 9786613825384 6613825387
Notes:	Includes bibliographical references (pages 34-35). English. Print version record.
Summary:	This study investigates the relationship between uncertainty and investment using U.K. data at different levels of aggregation. Motivated by a comparative econometric analysis using a firm-level panel and aggregate time-series data, we analyze the implications of aggregating nonlinear microeconomic processes. Replicating firm-level evidence that uncertainty influences investment dynamics proves to be challenging. Even using perfectly consistent data sources, this requires both exact aggregation of the underlying micro equations, and controlling for the unobserved influences on investment that are commonly subsumed into time dummies in panel studies. These conditions are unlikely to be satisfied in most aggregate econometric studies.
Other form:	Print version: Bond, Stephen. Why is micro evidence on the effects of uncertainty not replicated in macro data? Washington, D.C. : International Monetary Fund, Office of the Executive Director for Italy, ©2005

Description
Summary:	This study investigates the relationship between uncertainty and investment using U.K. data at different levels of aggregation. Motivated by a comparative econometric analysis using a firm-level panel and aggregate time-series data, we analyze the implications of aggregating nonlinear microeconomic processes. Replicating firm-level evidence that uncertainty influences investment dynamics proves to be challenging. Even using perfectly consistent data sources, this requires both exact aggregation of the underlying micro equations, and controlling for the unobserved influences on investment that are commonly subsumed into time dummies in panel studies. These conditions are unlikely to be satisfied in most aggregate econometric studies.
Physical Description:	1 online resource (35 pages) : illustrations.
Bibliography:	Includes bibliographical references (pages 34-35).
ISBN:	1283512939 9781283512930 9781451907131 1451907133 1462304427 9781462304424 1452719896 9781452719894 9786613825384 6613825387