q de Tobin marginal et transmission des chocs financiers

Laurence Bloch and Benoit Coeuré

Annals of Economics and Statistics, 1994, issue 36, 133-167

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.

Date: 1994
References: Add references at CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://www.jstor.org/stable/20075973 (text/html)

Related works:
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: https://EconPapers.repec.org/RePEc:adr:anecst:y:1994:i:36:p:133-167

Access Statistics for this article

Annals of Economics and Statistics is currently edited by Laurent Linnemer

More articles in Annals of Economics and Statistics from GENES Contact information at EDIRC.
Bibliographic data for series maintained by Secretariat General () and Laurent Linnemer ().