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Funciones Agregadas de Inversión para la Economía Chilena

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Author Info
Héctor Felipe Bravo
Jorge Enrique Restrepo
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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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. Ricardo J. Caballero, 1997. "Aggregate Investment," NBER Working Papers 6264, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  2. Hayashi, Fumio, 1985. "Corporate finance side of the Q theory of investment," Journal of Public Economics, Elsevier, vol. 27(3), pages 261-280, August. [Downloadable!] (restricted)
  3. 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. [Downloadable!] (restricted)
  4. Bernanke, Ben S, 1983. "The Determinants of Investment: Another Look," American Economic Review, American Economic Association, vol. 73(2), pages 71-75, May. [Downloadable!] (restricted)
  5. 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. [Downloadable!] (restricted)
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  6. Caballero, R.J., 1996. "Fixed Costs: The Demise of Marginal q," Working papers 96-14, Massachusetts Institute of Technology (MIT), Department of Economics.
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  7. Phillips, Peter C B & Loretan, Mico, 1991. "Estimating Long-run Economic Equilibria," Review of Economic Studies, Blackwell Publishing, vol. 58(3), pages 407-36, May. [Downloadable!] (restricted)
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  8. Agnès Belaisch & Claudio Soto, 1998. "Empirical Regularities of Chilean Business Cycles," Working Papers Central Bank of Chile 41, Central Bank of Chile. [Downloadable!]
  9. Schiantarelli, F. & Georgoutsos, D., 1990. "Monopolistic competition and the Q theory of investment," European Economic Review, Elsevier, vol. 34(5), pages 1061-1078, July. [Downloadable!] (restricted)
  10. 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(1995-2), pages 1-54. [Downloadable!]
  11. repec:fth:coluec:465 is not listed on IDEAS
  12. Abel, Andrew B., 1980. "Empirical investment equations : An integrative framework," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 12, pages 39-91. [Downloadable!] (restricted)
  13. Arne Bigsten, 1999. "Adjustment Costs, Irreversibility, and Investment Patterns in African Manufacturing," IMF Working Papers 99/99, International Monetary Fund.
  14. Hayashi, Fumio, 1982. "Tobin's Marginal q and Average q: A Neoclassical Interpretation," Econometrica, Econometric Society, vol. 50(1), pages 213-24, January. [Downloadable!] (restricted)
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  1. Igal Magendzo, 2004. "Determinantes de la Inversión en Chile," Working Papers Central Bank of Chile 303, Central Bank of Chile. [Downloadable!]
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