Firm Investment Behaviour in Germany: An Explanation Based on Seasonal Cointegration Techniques
AbstractThis paper examines the development of investments in equipment and construction in Germany using quarterly non-seasonal adjusted data from 1968 to 1989. The empirical analysis is based on cointegration techniques using the multivariate error correction approach. The model contains firm investments, exports, and the ratio of government debt to GDP. All of the variables are integrated of order 1 at the long run frequency. In addition, seasonal unit roots are detected only in the export and investment series. Given this result, the evidence for cointegration relationships at the seasonal frequencies is rather weak. However, the cointegration vector obtained at the long run frequency shows, that export growth has a positive influence on firm investment. On the other hand, a rise in relative government debt will restrict investment in the long run. Furthermore, we test for weak exogenity to examine the short run properties of the system. As expected, the analysis shows significant movements in all variables in order to re-establish the steady-state. The analysis suggests, that a decrease in government debt will be lead to increasing economic growth in the long run.
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Bibliographic InfoArticle provided by Justus-Liebig University Giessen, Department of Statistics and Economics in its journal Journal of Economics and Statistics.
Volume (Year): 219 (1999)
Issue (Month): 3+4 (September)
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Firm investments; government debt; cointegration;
Find related papers by JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- E22 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Capital; Investment; Capacity
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- Dreger, Christian & Reimers, Hans-Eggert, 2013.
"Does euro area membership affect the relation between GDP growth and public debt?,"
Journal of Macroeconomics,
Elsevier, vol. 38(PB), pages 481-486.
- Dreger, Christian & Reimers, Hans-Eggert, 2012. "Does euro area membership affect the relation between GDP growth and public debt?," Discussion Papers 327, European University Viadrina Frankfurt (Oder), Department of Business Administration and Economics.
- Christian Dreger & Hans-Eggert Reimers, 2012. "Does Euro Area Membership Affect the Relation between GDP Growth and Public Debt?," Discussion Papers of DIW Berlin 1249, DIW Berlin, German Institute for Economic Research.
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