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Publié par | DIRECTORATE-GENERAL-FOR-ECONOMIC-AND-FINANCIAL-AFFAIRS |
Nombre de lectures | 6 |
Langue | English |
Poids de l'ouvrage | 9 Mo |
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European Economy appears four times a year, in March, May, July and
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describes with the aid of tables and graphs the most recent trends of
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tions should be addressed. Commission of the European Communities
EUROPEAN
ECONOMY
March 1987 Number 31 Reproduction is subject to acknowledgement of the source.
Printed in Belgium. 1987
Catalogue number: CB-AR-87-031-EN-C SUMMARY
The determinants of investment
Estimation and simulation of international trade linkages
in the QUEST model 61 Abbreviations and symbols used
Countries
Belgium Β
DK Denmark
Federal Republic of Germany D
(¡R Greece
E Spain
F France
IRL Ireland
Italy 1
1. Luxembourg
NL The Netherlands
1' Portugal
UK United Kingdom
EUR 10 Total of the Member States of the European Community in 1985
EUR 9 Community in 1985 excluding Greece
EUR 12 Community
Currencies
BFR Belgian franc
Danish krone DKR
DM Deutschmark
DR Greek drachma
ESC Portuguese escudo
FF French franc
Dutch guilder HFL
IRL Irish pound (punt)
LFR Luxembourg franc
Italian lira LIT
PTA Spanish peseta
Pound sterling UKL
European currency unit ECU
US dollar USD
Swiss franc SFR
YEN Japanese yen
Canadian dollar CAD
Austrian schilling ÖS
Other abbreviations
ACP African, Caribbean and Pacific countries having signed the Lomé Convention
ECSCEuropean Coal and Steel Community
EDFEuropean Development Fund
EIB European Investment Bank
EMCFn Monetary Cooperation Fund
EMSEuropean y System
ERDF n Regional Development Fund
EuratomEuropean Atomic Energy Community
EurostatStatistical Office of the European Communities
GDP (GNP) Gross domestic (national) product
GFCF Gross fixed capital formation
LDCs Lessdeveloped countries
MioMillion
NCINewCommunity Instrument
OCTs OverseasCountries and Territories
OECDOrganization for Economic Cooperation and Development
OPECn of Petroleum Exporting Countries
SM Es Small and mediumsized enterprises
SOECStatistical Office of the European Communities
toe Tonne of oil equivalent
:Not available The determinants of investment
M. Catinai, R. Cawley, F. Ilzkovitz, A. Italianer, M. Mors
This document has been prepared for the Economic Policy Committee and discussed by its members. It has been prepared by officials of the Directorate-
General for Economic and Financial Affairs under the direction of Michel Catinat, economic adviser. Contents
Introduction 11
Part I — Determinants of investment: Theoretical basis 12
A. Accelerator models — relative costs
A.l. Theoretical basis
A.2. Econometric specifications of the accelerator-relative costs model 13
B. Profit models4
C. Two specifications of the 'accelerator-relative costs-profit model' 15
Part II — Econometric results 17
A. Estimations based on quarterly data9
A.l. Estimation
A.2. Economic analysis
A.3. Lag profile
B. Estimations for the annual data 22
B.l. Estimation
B.2. Alternative indicators of the profit ratio3
B.3. Comparison of the annual and quarterly models 2
Part III — The stability of investment behaviour over time7
A. A statistical analysis of the stability of global investment behaviour 2
A.l. Methodology 2
A.2. Results and initial tentative conclusions 2
B. The stability over time of individual regression coefficients (moving
regressions)8
B.l. Methodology
B.2. Results
C. Break in investment behaviour in the recent period
D. Conclusions and estimations for stable periods 29
Part IV — Relative importance of the determinants of investment 31
A. Methodology 3
B. Results2
B. I. Preliminary analysis
B.2. The effect relative to the determinants of investment 3
Conclusions8 Annex I Derivation of the demand for capital in an effective demand
model 41
Annex II Comparison of estimations carried out by ordinary least squares
(OLS) and by maximum likelihood (FIML) 42
Annex III A statistical analysis of the stability of global investment behav
iour6
Annex IV The stability over time of investment behaviour (moving re
gressions) 53
Bibliography 60
Statistical box: Definition of variables used 18 List of tables
Econometric results of the putty-putty quarterly model Table 1 20 cs of the putty-clayy model Table 2 21
Average periods for the investment determinants to act Table 3 22
Econometric estimates for annual putty-putty model Table 4 24 cs forl putty-clay model Table 5 25
Comparison of the aggregated quarterly models and the
Table 6
estimated annual model 26
Table 7 The putty-putty investment equation for stable periods 30
Table 8 Sensitivity oft to its determinants 33
Shocks necessary to increase investment by 1 % at the end of Table 8a
five years 34
Table 9 Standardization coefficients 34
Table 10 Relative importance of the determinants of investment 35
Comparison of OLS and FIM L estimates — Putty-putty model Table II. 1
on quarterly data 43
Table II.2 Comparison of OLS and FIML estimates — Putty-clay model
43 on quarterly data
Table II.3 Comparison of OLS and FIML estimations for the putty-
putty model (annual data) 44
Table 11.4 Comparison of OLS and FIML estimations for the putty-clay
model (annual data) 45
Table II.5 Comparison of the dynamic simulations of putty-clay models
estimated on annual data by ordinary least squares and by
maximum likelihood 45
Table III. 1 Distributed lag weights kept constant throughout the stability
tests 47