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Asset Prices and Real Investment in West Germany: Evidence from Vector Autoregressive Models

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  • Funke, Michael

Abstract

A four-variable, a five-variable and a six-variable vector autoregression (VAR) is used in the study to test empirically the linkages among changes in money, outstanding public bonds, interest rates, output, real asset prices, and real investment expenditures in West Germany. After estimating Sims-type and Hsiao-type vector autoregressions the VAR models are then converted to their moving-average representations and the innovation accounting technique is used to examine the impact of changes in asset prices and output on investment behavior.

Suggested Citation

  • Funke, Michael, 1989. "Asset Prices and Real Investment in West Germany: Evidence from Vector Autoregressive Models," Empirical Economics, Springer, vol. 14(4), pages 307-328.
  • Handle: RePEc:spr:empeco:v:14:y:1989:i:4:p:307-28
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    1. repec:nos:voprec:2017-08-6 is not listed on IDEAS
    2. P. Pavlov & A. Kaukin., 2017. "Import substitution of investment goods in Russia," VOPROSY ECONOMIKI, N.P. Redaktsiya zhurnala "Voprosy Economiki", vol. 8.
    3. Frondel, Manuel & Schmidt, Torsten & Vance, Colin & Zimmermann, Tobias & Belke, Ansgar, 2008. "Einfluss von Preisschocks auf die Preisentwicklung in Deutschland: Forschungsvorhaben des Bundesministeriums für Wirtschaft und Technologie. Projekt-Nr. I D 4-020815-16/07. Endbericht - Oktober 2008," RWI Projektberichte, RWI - Leibniz-Institut für Wirtschaftsforschung, number 70890, March.

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