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q de Tobin marginal et transmission des chocs financiers

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  • Laurence Bloch
  • Benoît Coeuré

Abstract

Empirical studies of physical investment usually rely on Tobin's average q (the market value of the firm divided by the replacement cost of capital), rather than marginal q (the present value of a stream of expected marginal profits) because the latter is unobservable. We build marginal q series in four OECD countries (France, USA, Germany and Japan) from V.A.R. models for financial returns and profit rates. We find that marginal q is the sum of two components: a permanent one related only to the current profit rate and a temporary one which summarizes expectations on future financial and real returns. At last we study the effects of financial or real shocks in the V.A.R., and their transmission through marginal q to investment.

Suggested Citation

  • Laurence Bloch & Benoît Coeuré, 1994. "q de Tobin marginal et transmission des chocs financiers," Annals of Economics and Statistics, GENES, issue 36, pages 133-167.
  • Handle: RePEc:adr:anecst:y:1994:i:36:p:133-167
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    Cited by:

    1. Weinert, Gunter & Wohlers, Eckhardt & Bruck, Christiane & Fieber, Eva-Ulrike & Hinze, Jorg & Kirchesch, Kai & Matthies, Klaus & Schumacher, Christian, 2003. "Zwischen Hoffen und Bangen - Konjunktur 2003," Report Series 26082, Hamburg Institute of International Economics.
    2. Ngongang, Elie, 2012. "Econometric Analysis of the Impact of Financial Variables on Investment Behavior in Sub-Saharan African (SSA) Countries," Review of Applied Economics, Lincoln University, Department of Financial and Business Systems, vol. 8(1), pages 1-22, May.
    3. Weinert, Günter, 2003. "Zwischen Hoffen und Bangen - Konjunktur 2003," HWWA Reports 224, Hamburg Institute of International Economics (HWWA).

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