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A vectorautoregressive investment model (VIM) and monetary policy transmission: panel evidence from German firms

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  • Ulf von Kalckreuth

Abstract

This paper proposes a new framework for studying the effects of monetary policy on business investment, modeling investment spending as a VAR. Based on a panel of financial statement data for 6,408 German firms (44,345 datapoints) supplemented with user costs of capital and confidential measures of creditworthiness, we generate GMM estimates of a Vectorautoregressive Investment Model (VIM) containing investment, cash flow, sales, and the user cost of capital. Apart from reporting several substantive findings, this paper demonstrates that the panel VAR approach is useful for modeling firm dynamics and real/financial interactions and for assessing monetary policy transmission.

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Bibliographic Info

Paper provided by Money Macro and Finance Research Group in its series Money Macro and Finance (MMF) Research Group Conference 2003 with number 107.

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Date of creation: 27 Sep 2004
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Handle: RePEc:mmf:mmfc03:107

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Web page: http://www.essex.ac.uk/afm/mmf/index.html

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  1. Agresti, Anna Maria & Mojon, Benoît, 2001. "Some stylised facts on the euro area business cycle," Working Paper Series 0095, European Central Bank.
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  26. repec:hal:cesptp:halshs-00112522 is not listed on IDEAS
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Cited by:
  1. Allard Bruinshoofd, 2003. "Corporate Investment and Financing Constraints: Connections with Cash management," DNB Staff Reports (discontinued) 110, Netherlands Central Bank.
  2. Ulf von Kalckreuth, 2003. "Exploring the role of uncertainty for corporate investment decisions in Germany," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 139(II), pages 173-206, June.
  3. Ulf von Kalckreuth, 2005. "Financial constraints and real activity: a non-structural approach using UK survey data," BIS Papers chapters, in: Bank for International Settlements (ed.), Investigating the relationship between the financial and real economy, volume 22, pages 64-80 Bank for International Settlements.
  4. Seok-Kyun Hur, 2005. "Money Growth and Interest Rates," NBER Working Papers 11102, National Bureau of Economic Research, Inc.
  5. Ulf von Kalckreuth & Emma Murphy, 2005. "Financial constraints and capacity adjustment in the United Kingdom: evidence from a large panel of survey data," Bank of England working papers 260, Bank of England.
  6. Issouf Samaké, 2008. "Investment and Growth Dynamics: An Empirical Assessment Applied to Benin," IMF Working Papers 08/120, International Monetary Fund.

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