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q de Tobin marginal et transmission des chocs financiers

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  • Laurence BLOCH
  • Benoît COEURÉ
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    Abstract

    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.

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    File URL: http://www.jstor.org/stable/20075973
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    Bibliographic Info

    Article provided by ENSAE in its journal Annals of Economics and Statistics.

    Volume (Year): (1994)
    Issue (Month): 36 ()
    Pages: 133-167

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    Handle: RePEc:adr:anecst:y:1994:i:36:p:07

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