q de Tobin marginal et transmission des chocs financiers
Empirical studies of physical investment usually rely on Tobin's average q (the market value of the firm divided by the replacement cost of capital), rather than marginal q (the present value of a stream of expected marginal profits) because the latter is unobservable. We build marginal q series in four OECD countries (France, USA, Germany and Japan) from V.A.R. models for financial returns and profit rates. We find that marginal q is the sum of two components: a permanent one related only to the current profit rate and a temporary one which summarizes expectations on future financial and real returns. At last we study the effects of financial or real shocks in the V.A.R., and their transmission through marginal q to investment.
Year of publication: |
1994
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Authors: | BLOCH, Laurence ; COEURÉ, Benoît |
Published in: |
Annales d'Economie et de Statistique. - École Nationale de la Statistique et de l'Admnistration Économique (ENSAE). - 1994, 36, p. 133-167
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Publisher: |
École Nationale de la Statistique et de l'Admnistration Économique (ENSAE) |
Saved in:
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