17 research outputs found
The interest rate and credit channel in Belgium: an investigation with micro-level firm data
This paper investigates the effects of monetary policy on firms' investment behaviour. The analysis relies on a comprehensive database of Belgian firms covering all sectors of economic activity and firms of all sizes. We proceed in two steps. First, we estimate a reduced-form investment equation derived from the neo-classical model, augmented by cash flow. This equation is estimated by the Arellano and Bond (1991) GMM procedure. Second, we compute the elasticity of the user cost of capital and the cash flow/capital ratio to the policy-controlled interest rate. We estimate the model for various sample splits according to sectors and sizes. Our results indicate that small firms are more sensitive to monetary policy than large firms, and that services are almost unaffected. Since the impact differs across sectors and sizes, we can conclude that monetary policy produces distributional effects JEL Classification: C23, D21, E50credit channel, Investment, monetary transmission, panel data
The interest rate and credit channels in Belgium: an investigation with micro-level firm data
This paper investigates the effects of monetary policy on firms\u2019 investment behaviour. The analysis relies on a comprehensive database of Belgian firms covering all sectors of economic activity and firms of all sizes. We proceed in two steps. First, we estimate a reduced-form investment equation derived from the neo-classical model, augmented by cash flow. This equation is estimated by the Arellano and Bond (1991) GMM procedure. Second, we compute the elasticity of the user cost of capital and the cash flow/capital ratio to the policy-controlled interest rate. We estimate the model for various sample splits according to sectors and sizes. Our results indicate that small firms are more sensitive to monetary policy than large firms, and that services are almost unaffected. Since the impact differs across sectors and sizes, we can conclude that monetary policy produces distributional effects.Investment, Monetary transmission, Credit channel, Panel data
The interest rate and credit channels in Belgium: An investigation with micro-level firm data
This paper investigates the effects of monetary policy on firms' investment behaviour. The analysis relies on a comprehensive database of Belgian firms covering all sectors of economic activity and firms of all sizes. We proceed in two steps. First, we estimate a reduced-form investment equation derived from the neo-classical model, augmented by cash flow. This equation is estimated by the Arellano and Bond (1991) GMM procedure. Second, we compute the elasticity of the user cost of capital and the cash flow/capital ratio to the policy-controlled interest rate. We estimate the model for various sample splits according to sectors and sizes. Our results indicate that small firms are more sensitive to monetary policy than large firms, and that services are almost unaffected. Since the impact differs across sectors and sizes, we can conclude that monetary policy produces distributional effects.Investment, Monetary transmission, Credit channel, Panel data
The impact of uncertainty on investment plans
In this paper we investigate how demand and output price uncertainty affect investment plans of Belgian manufacturing firms. We obtain time-varying uncertainty measures at the firm and industry level from the Belgian monthly business cycle survey and investment plans from the half-yearly investment survey. Using investment plans instead of realised investment data, e.g. annual accounts data, is, from an informative point of view, superior since it is more likely to reveal the features of the decision formation process and, therefore, it is most closely related to economic theory. Business investment is normally planned well in advance, because it involves time and costs to implement, and theory describes the behaviour of firms at the moment of their decision, which can be assumed to be fully captured in survey data. In order to find robust predictions we estimate three different specifications, each of which can be considered as a benchmark in the literature: two reduced form equations and a structural Euler equation. Our results show that uncertainty depresses investment. These results hold for industry- as well as for firmspecific demand uncertainty. Moreover, referring to Euler equation, uncertainty postpones investment today in favour of investment tomorrow. This effect is stronger for firms with more irreversible investment. Hence, our results seem to confirm to predictions of the real option theory.investment, uncertainty, irreversibility, real options, survey data
The impact of uncertainty on investment plans
In this paper we investigate how demand and output price uncertainty affect investment plans of Belgian manufacturing firms. We obtain time-varying uncertainty measures at the firm and industry level from the Belgian monthly business cycle survey and investment plans from the half-yearly investment survey. Using investment plans instead of realised investment data, e.g. annual accounts data, is, from an informative point of view, superior since it is more likely to reveal the features of the decision formation process and, therefore, it is most closely related to economic theory. Business investment is normally planned well in advance, because it involves time and costs to implement, and theory describes the behaviour of firms at the moment of their decision, which can be assumed to be fully captured in survey data. In order to find robust predictions we estimate three different specifications, each of which can be considered as a benchmark in the literature: two reduced form equations and a structural Euler equation. Our results show that uncertainty depresses investment. These results hold for industry- as well as for firmspecific demand uncertainty. Moreover, referring to Euler equation, uncertainty postpones investment today in favour of investment tomorrow. This effect is stronger for firms with more irreversible investment. Hence, our results seem to confirm to predictions of the real option theory
Performances économiques des Etats-Unis dans les années nonante
This article gives a general overview of economic developments in the United States in the nineties and aims to highlight certain structural characteristics underlying them. The performance of the American economy is situated in a longer-term perspective and compared with those of other advanced economies. This article also offers a cautious explanation of the extremely sustained and non-inflationist growth during the second half of the last decade. To this end, three approaches have been used: an analysis of demand determinants; growth accounting; and a "Structural Vector Autoregressive" model to disentangle the contribution of demand and supply factors. Since labour supply appears to have made a substantial contribution to American growth, the article also includes an evaluation of the role layed by demographic factors and the organisation of the labour market in developments in employment and unemployment in the United States, as well as in the eurozone. Special attention is also paid to the imbalances shown by the American economy and, more particularly, to the question of the sustainability of the current deficit.
The Interest Rate and Credit Channels in Belgium: An Investigation with Micro-Level Firm Data
This paper investigates the effects of monetary policy on firms' investment behaviour. The analysis relies on a comprehensive database of Belgian firms covering all sectors of economic activity and firms of all sizes. We proceed in two steps. First, we estimate a reduced-form investment equation derived from the neo-classical model, augmented by cash flow. This equation is estimated by the Arellano and Bond (1991) GMM procedure. Second, we compute the elasticity of the user cost of capital and the cash flow/capital ratio to the policy-controlled interest rate. We estimate the model for various sample splits according to sectors and sizes. Our results indicate that small firms are more sensitive to monetary policy than large firms, and that services are almost unaffected. Since the impact differs across sectors and sizes, we can conclude that monetary policy produces distributional effects
107 “The interest rate and credit channel in Belgium: an investigation with micro-level firm data” by
We would like to thank participants in the Monetary Transmission Network for helpful comments and suggestions. The views expressed in this paper reflect only the views of the authors. They do not necessarily reflect the views of the European Central Bank, or of the National Bank of Belgium. 1 This paper investigates the effects of monetary policy on firms ’ investment behaviour. The analysis relies on a comprehensive database of Belgian firms covering all sectors of economic activity and firms of all sizes. We proceed in two steps. First, we estimate a reduced-form investment equation derived from the neo-classical model, augmented by cash flow. This equation is estimated by the Arellano and Bond (1991) GMM procedure. Second, we compute the elasticity of the user cost of capital and the cash flow/capital ratio to the policy-controlled interest rate. We estimate the model for various sample splits according to sectors and sizes. Our results indicate that small firms are more sensitive to monetary policy than large firms, and that services are almost unaffected. Since the impact differs across sectors and sizes, we can conclude that monetary policy produce