A relação teórica entre incerteza cambial e investimento: os modelos neoclássico e de investimento irreversível

Abstract

This paper deals with the controversy about the relationship between uncertainty and investment.. Based on a simple intertemporal model, a competitive and risk-neutral firm is assumed to maximise profit subject to random changes in the real exchange rate. The model is developed under the neoclassical hypothesis and according to the irreversible investment model. The results of the model show that the relationship between exchange rate uncertainty and investment is positive in the neoclassical approach and negative in the irreversible investment model. The adverse effect of an increase in exchange rate uncertainty can be regarded as more realistic based either on the asymmetric assumption of capital adjustment costs or on empirical evidence. Therefore, the irreversible investment model developed in this paper provides theoretical support for the negative sign of the exchange rate uncertainty-investment relationship found in empirical studies.