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

Ulf von Kalckreuth, Jörg 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: C33 E22 E5 (search for similar items in EconPapers)
Date: 2003-06-04
New Economics Papers: this item is included in nep-mon
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Citations: View citations in EconPapers (9)

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Related works:
Working Paper: A vectorautoregressive investment model (VIM) and monetary policy transmission: panel evidence from German firms (2004)
Working Paper: A Vectorautoregressive Investment Model (VIM) and Monetary Policy Transmission: Panel Evidence from German Firms (2003)
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