Role of uncertainty for FDI inflow: Panel econometric analysis of selected high-income nations

Figures & data

Figure 1. Trend of FDI inflow in high income nations (yearly).

Figure 2. Trend of uncertainty in high income nations (yearly).

Table 1. Variable measurement

Variable Name	Measurement	Data Source	Reference
FDI Inflow	% age of Gross Domestic Product	WDI Website	(Nguyen & Lee, 2021; Ogbonna et al., 2022; Tien et al., 2022).
Uncertainty	Economic Policy Uncertainty Index	EPU Website	(Canh et al., 2020; Nguyen & Lee, 2021; Ogbonna et al., 2022; Smith, 2021).
Exchange Rate	Real Exchange Rate	WDI Website	(Alshubiri, 2022; Gautam et al., 2020; Tan et al., 2021).
Inflation	% of GDP as a deflator	WDI Website	(Alshubiri, 2022; Nguyen & Lee, 2021; Smith, 2021).
Trade Openness	% of Gross Domestic Product	WDI Website	(Alshubiri, 2022; Nguyen & Lee, 2021; Smith, 2021).
Economic Growth	Real % age of Gross Domestic Product	WDI Website	(Korsah et al., 2022; Osei & Kim, 2020; Shahbaz et al., 2021).

Table 2. Descriptive statistics

	Mean	STD	Kurtosis	Skewness	Min	Max	N
FDI	5.43	9.73	22.77	3.49	−37.71	86.48	418.00
UNC	136.58	78.00	8.64	2.50	37.60	588.37	418.00
EXR	231.14	619.18	11.26	3.30	0.50	3743.59	418.00
INF	2.42	2.85	34.57	3.72	−4.62	33.68	418.00
TOP	82.09	77.56	7.51	2.75	19.56	437.33	418.00
EGR	2.62	3.73	4.54	0.24	−10.82	25.18	418.00

Table 3. Correlation matrix

	FDI	UNC	EXR	INF	TOP	EGR
FDI	1
UNC	−0.094*	1
	0.055
EXR	−0.174***	−0.073	1
	0.0003	0.1357
INF	−0.135***	−0.091*	0.173***	1
	0.0057	0.065	0.0004
TOP	0.529***	−0.036	−0.212***	−0.133***	1
	0.0000	0.463	0.0000	0.0065
EGR	0.190***	−0.096**	0.123**	0.130***	0.130***	1
	0.0001	0.0495	0.0121	0.008	0.0079

Table 4. Testing Cross-sectional dependence

Required Test	Test Statistics	Pr-Value	Remarks
Breusch-Pagan LM	26.176	0.130	No Cross-Sectional Dependence
Pesaran’s test	3.980	0.117	No Cross-Sectional Dependence

Table 5. Panel unit root

Variables	Level
	Levin-Lin-Chu	Harris & Tzavalis	Im-Pesaran-Shin
FDI	−5.83***	−9.64***	−7.66***
UNC	−5.61***	−4.71***	−4.87***
EXR	2.15	−10.79***	−2.48
INF	−3.36***	−11.52***	−8.16***
TOP	−3.30***	−0.82	−4.18***
EGR	−4.10***	−13.32***	−8.60***
	At First Difference
FDI	−9.32***	−21.58***	−11.63***
UNC	−5.44***	−16.21***	−10.33***
EXR	7.85***	−13.90***	−4.62***
INF	−7.06***	−22.37***	−11.90***
TOP	−4.80***	−15.35***	−10.13***
EGR	−8.24***	−22.82***	−12.43***

Table 6. Countrywide optimal lag (111,011)

Countries	FDI	EPU	EXR	INF	TOP	EGR
Australia	0	1	2	0	1	1
Brazil	1	1	1	1	1	0
Canada	0	1	2	1	1	1
Chile	1	1	2	0	1	0
China	1	1	2	0	2	1
Colombia	1	1	2	0	0	2
France	0	1	1	0	1	0
Germany	1	1	1	1	1	0
Greece	1	1	1	1	1	1
Ireland	0	1	1	0	1	1
Italy	0	1	1	1	1	0
Japan	1	1	2	1	1	0
Korea, Rep.	0	1	0	1	1	1
Netherlands	1	1	1	1	1	1
Singapore	2	1	2	2	2	2
Spain	0	1	1	0	0	0
Sweden	1	1	1	1	2	0
United Kingdom	1	0	1	0	1	2
United States	2	1	1	0	2	1
Mode	1	1	1	0	1	1

Table 7. Panel co-integration

Pedroni Test	Test Statistic		Westerlund Test	Test Statistic	Remarks
	Panel	Group
v	−1.415		Gt	−10.292 ***	Co-integration Exists
Rho	1.114	2.811	Ga	8.820 ***
t	−4.525 ***	−4.326 ***	Pt	5.785***
Adf	.5764	5.741***	Pa	7.331***

Table 8. Panel ARDL (DFE)

	Variables	Coef.	SE	T-value	Prob
Long Run
	Uncertainty	−0.3886	0.1395	−2.79	0.015
	Exchange Rate	−0.0268	0.0135	−1.98	0.056
	Inflation Rate	−0.0907	0.0206	−4.39	0.001
	Trade Openness	0.5687	0.2490	2.28	0.021
	Growth Rate	0.1181	0.0350	3.38	0.015
Short Run
	ECT	−0.7258	0.0451	−16.1	0.000
	$\mathrm{\Delta }\hspace{0.17em}Uncertainty$	0.1356	0.1443	0.94	0.347
	$\mathrm{\Delta }Exchange\hspace{0.17em}Rate$	0.7920	0.1310	6.04	0.000
	$\mathrm{\Delta }Inflation\hspace{0.17em}Rate$	0.0937	0.0417	2.25	0.025
	$\mathrm{\Delta }Trade\hspace{0.17em}Openness$	0.3886	0.5516	0.70	0.481
	$\mathrm{\Delta }Growth\hspace{0.17em}Rate$	−0.0597	0.0416	−1.44	0.151
	Constant	0.3285	0.1027	3.20	0.000
Diagnostic Tests
Hausman Test to choose between MG and PMG			chi2(5) = 1.73, Prob>chi2 = 0.8854
Hausman Test to choose between DFE and PMG			chi2(5) = 6.23, Prob>chi2 = 0.0158
Number of Observations (N × T)					418
N (High-Income Countries)		19
T (2000–2021)		22

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