@TechReport{CEPII:2020-03,
author={Rafael Cezar and Timothée Gigout and Fabien Tripier},
title={Cross-border Investments and Uncertainty Firm-level Evidence},
year=2020,
month=March,
institution={CEPII},
type={Working Papers},
url={https://www.cepii.fr/CEPII/en/publications/wp/abstract.asp?NoDoc=12585},
number={2020-03},
abstract={This paper studies the impact of uncertainty on cross-border investments. We build a data-set of firm-level outward Foreign Direct Investments between 2000 and 2015. We create a time and country varying measure of uncertainty based on the dispersion of idiosyncratic investment returns. An increase in uncertainty delays cross-border flows to the affected country. Yet, this average effect hides strong heterogeneity. Firms with low ex-ante performance durably reduce their foreign investments. Meanwhile high-performing firms increase their investments after the initial shock. We interpret these results as the evidence of a cleansing effect of uncertainty shocks among multinational firms in the presence of financial frictions.},
keywords={Uncertainty ; Asymmetric Uncertainty ; FDI flows ; FDI Returns ; Volatility}
}