Investment and capital flows under uncertainty and capital market imperfection in oil-producing countries.

摘要

This dissertation analyzes and estimates the interactions between domestic investment and each type of capital flow under uncertainty and capital market imperfection in 13 oil-producing countries from 1981 to 2003. First, we discuss the recent development in investment theories under uncertainty, irreversibility, and imperfect capital market. Secondly, decomposing uncertainty into permanent and transitory components---based on C-GARCH---we construct uncertainty measures of broad macroeconomic variables in addition to oil price.; Thirdly, a model of four simultaneous equations is developed to capture dynamic interactions. My contribution is twofold. First, not only do we consider the impact of uncertainty and credit market imperfection on investment, but also we examine the source of uncertainty by decomposing it into transitory and permanent components. Second, I employ a GMM-3SLS technique which has never been used before to address this issue. This technique accounts for a potential endogeneity of explanatory variables, controls for country-specific fixed effects, and enables the use of different instruments for each equation in the model. Our findings show that bi-direction interactions between domestic investment, foreign investment, and bank loans exist. However, FDI induces domestic investment more than domestic investment does. FBL is the second most important component in capital flows in stimulating domestic investment but its impact is much less than FDI. Also we find that the negative effect of credit uncertainty on investment dampens the positive effect of financial development and hence deter investment.; Fourthly, based on the estimated model we simulate the impacts of different macroeconomic policy responses on capital flows and domestic investment for the Egyptian economy over the 2004--2010 horizon. An econometric model is employed to generate a set of forecasts. The results reveal that a contractional fiscal policy implemented by cutting government expenditure is more effective than increasing taxes in response to the "overheating" caused by the capital inflow. Also, the sterilization policy is not recommended. Reducing uncertainty in all variables has a favorable effect in increasing domestic investment and FDI.