Designing Investment conditions uncertainty index
Subject Areas :
Journal of Investment Knowledge
Ezatollah Abbasian
1
,
Tahmaseb Mazaheri
2
,
Saied Sehhat
3
,
Mehri Akbari
4
1 - Associate Professor in Economics, Department of Public Administration, Faculty of Management, University of Tehran, Tehran, Iran
2 - Assistant Professor, Department of Finance and Insurance, Faculty of Management, University of Tehran, Tehran, Iran
3 - Associate Professor, Department of Business Administration & Insurance, Faculty of Management & Accounting, Allameh Tabataba’i University
4 - Ph.D. Candidate / Department of Finance and Insurance, Faculty of Management, University of Tehran, Tehran, Iran,
Received: 2019-10-29
Accepted : 2019-12-30
Published : 2022-03-21
Keywords:
Generalized Autoregressive Conditional Heteroskedastisity,
Investment conditions uncertainty index,
foreign direct investment,
Panel data,
Abstract :
Economic uncertainty and foreign investment have always been the focus of researchers, policymakers and investors, but what has been overlooked is the measurement of economic uncertainty with a focus on foreign investment. Therefor the purpose of this study is to design an investment conditions uncertainty index by identifying the economic factors affecting FDI inflows in the largest owners of gas reserves including. For this purpose, first the economic variables affecting foreign direct investment are modeled and identified using annual data from 1997 to 2017 of Russia, Iran and Qatar and the Feasible Generalized Least Squares method in the data panel. According to the results, GDP growth, inflation, real interest rate, stock market capitalization and trade openness have significant effect on foreign direct investment. After identifying influential variables, using monthly and seasonal data for the maximum available time period, after estimating the types of GARCH models and determining the optimal model for each variable, the optimal criterion of their fluctuations is calculated. Finally, using the obtained criteria and weighting based on the results of the panel model, Investment conditions uncertainty index for each country is constructed. According to the results, Trend of mentioned index clearly shows the fluctuations due to economic changes in different countries and its compliance with macroeconomic, monetary and fiscal policies adopted by governments, so that, it can be a useful guide for our country's policymakers, It also provides an appropriate scale for assessing the uncertainty of countries by policymakers, investors and researchers at macro and micro level.
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