Sungje Byun

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Heterogeneity in the Dynamic Effects of Uncertainty on Investment

Staff Working Paper 2015-34 Sungje Byun, Soojin Jo
How does aggregate profit uncertainty influence investment activity at the firm level? We propose a parsimonious adaptation of a factor-autoregressive conditional heteroscedasticity model to exploit information in a subindustry sales panel for an efficient and tractable estimation of aggregate volatility.

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