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Empirical Economics

, Volume 14, Issue 4, pp 307–328 | Cite as

Asset prices and real investment in West Germany: Evidence from vector autoregressive models

  • M. Funke
Article

Summary

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 the 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 behaviour.

Keywords

Interest Rate Economic Theory Asset Price Autoregressive Model Investment Behaviour 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Physica-Verlag 1989

Authors and Affiliations

  • M. Funke
    • 1
  1. 1.Forschungsschwerpunkt Arbeitsmarkt und BeschÄftigungWZBBerlin 30

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