The impact of exchange rate volatility on plant-level investment: Evidence from Colombia

• 成果类型: Article
• 署名作者: Kandilov, Ivan T.; Leblebicioglu, Asli
• 署名单位: North Carolina State University
• 刊物名称: JOURNAL OF DEVELOPMENT ECONOMICS
• ISSN/ISSBN: 0304-3878
• DOI: 10.1016/j.jdeveco.2010.01.013
• 发表日期: 2011
• 页码: 220-230
• 关键词: exchange rate volatility; INVESTMENT; colombia

摘要

We estimate the impact of exchange rate volatility on firms' investment decisions in a developing country setting. Employing plant-level panel data from the Colombian Manufacturing Census, we estimate a dynamic investment equation using the system-GMM estimator developed by Arellano and Bover (1995) and Blundell and Bond (1998). We find a robust negative impact of exchange rate volatility, constructed either using a GARCH model or a simple standard deviation measure, on plant investment. Consistent with theory, we also document that the negative effect is mitigated for establishments with higher mark-up or exports, and exacerbated for lower mark-up plants with larger volume of imported intermediates. (C) 2010 Elsevier B.V. All rights reserved.