Q, investment, and the financial cycle
Verona, Fabio (02.09.2017)
Numero
26/2017Julkaisija
Bank of Finland
2017
Julkaisun pysyvä osoite on
https://urn.fi/URN:NBN:fi:bof-201709051592Tiivistelmä
The empirical performance of the Q theory of investment can be significantly improved by simultaneously considering the time- and the frequency-varying features of the investment-Q relationship. Using continuous wavelet tools, I assess the investment-Q sensitivity at different frequencies and its evolution over time, as well as the interaction of the financial cycle with the Q theory. The results show that there is a positive, stable medium-to-long-run relationship between investment and Q that begins after a positive, stable long-run relationship between credit and Q materializes. In such case, credit leads and slowly fuels the stock price boom.
Julkaisuhuomautus
Pulished in Oxford Bulletin of Economics and Statistics as "Investment, Tobin’s Q, and cash flow across time and frequencies" 2019 ; 82 ; 2 ; 331-346 ;
https://doi.org/10.1111/obes.12321
https://doi.org/10.1111/obes.12321