Investment sensitivity to interest rates in an uncertain context: Is a positive relationship possible?

被引：5

作者：

Beccarini A. ^{[1
]}

机构：

[1] Department of Economic Systems and Institutions, University of L'Aquila, Roio Poggio, AQ 67040

来源：

Economic Change and Restructuring | 2007年 / 40卷 / 3期

关键词：

GARCH model; GMM; Interest rates models; NPV; Threshold model;

D O I：

10.1007/s10644-007-9025-1

中图分类号：

学科分类号：

摘要：

This paper shows a non-linear relationship between investment and interest rates under uncertainty. Since the interest rate's variance is positively related to the investment's value (through the discount factor) and, generally, is also positively related to the interest rate's level, then, at the same time, a negative (classical) and a positive (through the interest rate's variance) relationship links interest rates to investment. Hence, an ultimate and even positive relationship between investment and interest rate's (expected) level may occur. A specific model is proposed and the conditions upon which the positive effect occurs are derived. Some estimates are also proposed. © Springer Science+Business Media, LLC. 2007.

引用

页码：223 / 234

页数：11

共 23 条

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