A Vectorautoregressive Investment Model (VIM) and Monetary Policy Transmission: Panel Evidence from German Firms

Ulf von Kalckreuth (), Jorg Breitung and Bob Chirinko ()

No 213, Royal Economic Society Annual Conference 2003 from Royal Economic Society

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.

Keywords: panel data VARs; monetary policy trmonetary policy transmission; panel data VARs; firm-level investment; Germany (search for similar items in EconPapers)
JEL-codes: E5 C33 E22 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-mon
Date: 2003-06-04
View citations in EconPapers

Downloads: (external link)
http://repec.org/res2003/vonKalckreuth.pdf full text

Related works:
Working Paper: A Vectorautoregressive Investment Model (VIM) and Monetary Policy Transmission: Panel Evidence from German Firms (2003)
Working Paper: A Vectorautoregressive Investment Model (VIM) And Monetary Policy Transmission: Panel Evidence From German Firms (2003)
Working Paper: A vectorautoregressive investment model (VIM) and monetary policy transmission: panel evidence from German firms (2004)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:ecj:ac2003:213

Access Statistics for this paper

More papers in Royal Economic Society Annual Conference 2003 from Royal Economic Society
Contact information at EDIRC.
Series data maintained by Christopher F. Baum ().