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

Michael Funke

Empirical Economics, 1989, vol. 14, issue 4, 307-28

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.

Date: 1989
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