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Funciones Agregadas de Inversión para la Economía Chilena

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  • Héctor Felipe Bravo
  • Jorge Enrique Restrepo
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    Abstract

    Investment equations are estimated for Chile, between 1986 and 2001, with the objective of building forecast and simulations of this variable. Investment behavior plays a crucial role in macroeconomic fluctuations in the short run, but also in capital and output grow in the long run. Hence, investment has been the subject of many articles and studies. Investment is treated in the literature in two ways. In the first one, which could be called the neoclassical approach, its main determinant is the user cost of capital. In the second one, which is called the Tobin Q model, investment is determined by the relation between the market value of capital and its replacement cost. The estimated equations are derived from these two models. The best out–of–sample forecasts are obtained for machine and equipment with the user cost model and for construction with the Q model. The methods of estimation used included two–stage least squares as well as error–correction techniques both linear and nonlinear like the one by Phillips and Loretan (1991).

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    Bibliographic Info

    Paper provided by Central Bank of Chile in its series Working Papers Central Bank of Chile with number 158.

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    Date of creation: Jun 2002
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    Handle: RePEc:chb:bcchwp:158

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    1. Abel, Andrew B., 1980. "Empirical investment equations : An integrative framework," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 12(1), pages 39-91, January.
    2. Ricardo J. Caballero, 1997. "Aggregate Investment," NBER Working Papers 6264, National Bureau of Economic Research, Inc.
    3. Hayashi, Fumio, 1985. "Corporate finance side of the Q theory of investment," Journal of Public Economics, Elsevier, vol. 27(3), pages 261-280, August.
    4. Giuseppe Bertola & Ricardo J. Caballero, 1990. "Kinked Adjustment Costs and Aggregate Dynamics," NBER Chapters, in: NBER Macroeconomics Annual 1990, Volume 5, pages 237-296 National Bureau of Economic Research, Inc.
    5. Ricardo J. Caballero & John V. Leahy, 1996. "Fixed Costs: The Demise of Marginal q," Harvard Institute of Economic Research Working Papers 1765, Harvard - Institute of Economic Research.
    6. Abel, Andrew B & Blanchard, Olivier J, 1986. "The Present Value of Profits and Cyclical Movements in Investment," Econometrica, Econometric Society, vol. 54(2), pages 249-73, March.
    7. Ricardo J. Caballero & Eduardo M. R. A. Engel & John C. Haltiwanger, 1995. "Plant-Level Adjustment and Aggregate Investment Dynamics," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 26(2), pages 1-54.
    8. Bean, Charles R, 1981. "An Econometric Model of Manufacturing Investment in the UK," Economic Journal, Royal Economic Society, vol. 91(361), pages 106-21, March.
    9. Rama, Martin, 1990. "Empirical investment equations in developing countries," Policy Research Working Paper Series 563, The World Bank.
    10. Schiantarelli, F. & Georgoutsos, D., 1990. "Monopolistic competition and the Q theory of investment," European Economic Review, Elsevier, vol. 34(5), pages 1061-1078, July.
    11. Lawrence H. Summers, 1981. "Taxation and Corporate Investment: A q-Theory Approach," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 12(1), pages 67-140.
    12. Arne Bigsten, 1999. "Adjustment Costs, Irreversibility, and Investment Patterns in African Manufacturing," IMF Working Papers 99/99, International Monetary Fund.
    13. Peter C.B. Phillips & Mico Loretan, 1989. "Estimating Long Run Economic Equilibria," Cowles Foundation Discussion Papers 928, Cowles Foundation for Research in Economics, Yale University.
    14. Bernanke, Ben S, 1983. "The Determinants of Investment: Another Look," American Economic Review, American Economic Association, vol. 73(2), pages 71-75, May.
    15. repec:fth:coluec:465 is not listed on IDEAS
    16. Fumio Hayashi, 1981. "Tobin's Marginal q and Average a : A Neoclassical Interpretation," Discussion Papers 457, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
    17. Agnès Belaisch & Claudio Soto, 1998. "Empirical Regularities of Chilean Business Cycles," Working Papers Central Bank of Chile 41, Central Bank of Chile.
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    Cited by:
    1. Igal Magendzo, 2004. "Determinantes de la Inversión en Chile," Working Papers Central Bank of Chile 303, Central Bank of Chile.

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