Intertemporal Variation in Financial Constraints on Investment: A Time-Varying Parameter Approach Using Panel Data
AbstractThis article is concerned with understanding how financial constraints on investment vary over the business cycle and whether these constraints are related to macroeconomic policies. These issues are investigated within the framework of a time-varying parameter model using U.S. company panel data from 1971 to 1993. A preliminary investigation of parameter stability in investment equations using cross-sectional estimation techniques indicates a pattern of parameter variation that conforms to the one captured by the "return-to-normality" model. The return-to-normality model is estimated using a Bayesian approach. The estimation results provide evidence that support the predictions of the models of asymmetric information in capital markets.
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Bibliographic InfoArticle provided by American Statistical Association in its journal Journal of Business and Economic Statistics.
Volume (Year): 19 (2001)
Issue (Month): 2 (April)
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Web page: http://www.amstat.org/publications/jbes/index.cfm?fuseaction=main
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