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Author: Micha, Symela
Title: The effect of macroeconomic uncertainty on macroeconomic variables.
Date Issued: 2013
Department: Διατμηματικό Πρόγραμμα Μεταπτυχιακών Σπουδών στην Οικονομική Επιστήμη
Supervisor: Fountas, Stylianos
Abstract: The aim of this study is to identify the impact of macroeconomic uncertainty on macroeconomic variables for 10 developed countries. Our main purpose is to find the sign effect of such uncertainty on investment and other macroeconomic fundamentals per country and compare the empirical results among three main unit root tests, ADF, KPSS and DF-GLS. Using GARCH models, the conditional variance is a good proxy in order to estimate macroeconomic uncertainty. Basically, our results mostly follow economic theory and several empirical studies. Hence, it is found that macroeconomic uncertainty has a different sign effect in the majority of the examined countries, which is our principal reason conducting this work.
Keywords: Macroeconomic uncertainty
Uncertainty on investment
GARCH models
Neoclassical theory
Real option theory
Real exchange rate uncertainty
Information: Διπλωματική εργασία--Πανεπιστήμιο Μακεδονίας, Θεσσαλονίκη, 2013.
Appears in Collections:ΔΠΜΣ Οικονομική Επιστήμη (M)

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