Uncertainty and Investment : Some Evidence from the Panel Data of Japanese Manufacturing Firms.

We analyse empirically the effect of uncertainty on fixed investment by estimating an accelerator-type investment function based on a panel data set of the Hapanese manufacturing firms. The uncertainty measure, represented by the conditional standard deviation of the sales ghrowth rate, is constructed by employing three different statistical models : the rolling regressions model, the ARCH model, and the conventional formula of standard deviation.