面板VAR-Love_2006_PVAR解读.pptVIP

Financial development and dynamic investment behavior: Evidence from panel VAR Inessa Love , Lea Zicchino (2006) The Quarterly Review of Economics and Finance, 46 (2006)190–210 中山大学 连玉君 arlionn@163.com Background Neoclassical theory of investment Arrow-Debreu framework Asymmetric information Inessa Love , Lea Zicchino (2006) financial conditions and investment. Estimation of the relationship between investment and financial variables finding an appropriate measure for the ‘financial’ factors that enter the investment equation in models with capital markets imperfections Model: Specification Panel VAR Zt {SKB, CFKB,IKB,TOBINQ} SKB sales to capital ratio, IKB investment to capital ratio, CFKB is cash flow scaled by capital Model: method orthogonalization of impulse responses the actual variance–covariance matrix of the errors is unlikely to be diagonal, to isolate shocks Model: Assumptions current shocks to the marginal productivity of capital (proxied by sales to capital) have an effect on the contemporaneous value of investment, investment has an effect on the marginal productivity of capital only with a lag investment responds to cash flow contemporaneously, But cash flow responds to investment only with a lag Sample Sample (Cont.) Data Sample range: 36 countries with over 8000 firms for the years 1988–1998 split the countries into two groups based on the financial development Variables Results A 4-variable VAR with Tobin’s q ‘low’ financial development ‘high’ financial development differences (‘low’ minus ‘high’) Conclusions financial under-development adversely affects the dynamic investment behavior, thus leading to inefficient allocation of capital. Contributions Consider the complex relationship between investment opportunities and the financial situation of the firms, while allowing for a firm-specific unobserved heterogeneity in the levels of the variables (i.e. fixed effects). Our results do not rely on strong assumptions that are necessary