Anoruo, Emmanuel and Kumar, Saten and DiPietro, Bill (2007): A Cointegration Analysis of Investment Output Ratio in Bangladesh. Forthcoming in: Indian Development Review : pp. 1-17.
Download (200kB) | Preview
In this article, we have estimated a neo-classical model of investment augmented with real rate of interest to proxy the user cost of capital for Bangladesh. Our results reveal that there is a equilibrium relationship between investment output ratio, real output and real rate of interest. The long run relationship persists even in the presence of structural breaks in the model.
|Item Type:||MPRA Paper|
|Original Title:||A Cointegration Analysis of Investment Output Ratio in Bangladesh|
|English Title:||A Cointegration Analysis of Investment Output Ratio in Bangladesh|
|Keywords:||Investment Output Ratio; Johansen Maximum Likelihood Method; Gregory Hansen Structural Break tests|
|Subjects:||O - Economic Development, Innovation, Technological Change, and Growth > O2 - Development Planning and Policy > O23 - Fiscal and Monetary Policy in Development
E - Macroeconomics and Monetary Economics > E6 - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook > E62 - Fiscal Policy
P - Economic Systems > P4 - Other Economic Systems > P41 - Planning, Coordination, and Reform
E - Macroeconomics and Monetary Economics > E2 - Consumption, Saving, Production, Investment, Labor Markets, and Informal Economy > E22 - Investment ; Capital ; Intangible Capital ; Capacity
?? R34 ??
|Depositing User:||Saten Kumar|
|Date Deposited:||15. Dec 2009 08:09|
|Last Modified:||30. Apr 2015 18:53|
Anonymous. (2001) “Savings and Investment: Determinants and Policy Implications,” OECD Economic Outlook, 70, pp. 133-149.
Bernanke, B. S. (1983) “The Determinants of Investment: Another Look,” The American Economic Review (Papers and Proceedings of the Ninety-Fifth Annual Meeting of the American Economic Association), 73(2), pp. 71-75.
Brown, R.L., Durbin, J. and Evans, J.M. (1975) “Techniques for Testing the Constancy of Regression Relations Over Time,” Journal of the Royal Statistical Society, 37, pp. 149-92.
Clark, P.K. (1979) “Investment in the 1970s: Theory, Performance and Prediction,” Brookings Papers on Economic Activity, Brookings, Washington, D.C., pp.73-113.
Colin, L. and Siow, A. (1985) “Interest Rates and Investment Spending: Some Empirical Evidence for Postwar U.S. Producer Equipment, 1947-1980,” The Journal of Business, 58(4), pp. 359-375.
Enders, W. (2004) “Applied Econometric Time Series,” 2nd edition, (Hoboken NJ: John Wiely).
Greene, J. and Villanueva D. (1991) “Private Investment in Developing Countries: An Empirical Analysis,” IMF Staff Papers, 39(1), pp. 33-58.
International Financial Statistics, December, (2005). IMF CD-ROM (Washington DC: International Monetary Fund).
Johansen, S. (1991) “Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models,” Econometrica, 59, pp. 1551-1580.
Johansen, S. and Juselius, K. (1990) “Maximum Likelihood Estimation and Inferences on Cointegration with Applications to the Demand for Money,” Oxford Bulletin of Economics and Statistics, 69, pp. 675-684.
Jorgenson, D.W. (1971) “Econometric Study of Investment Behavior: A Survey,” Journal of Economic Literature, 9, pp. 73-113.
Lau, E., Baharumshah, A.Z. (2003) “Sustainability of External Imbalances: The Case of Malaysia,” Singapore Economic Review, 48, pp. 61–80.
Oshikoya, T. W. (1994) “Macroeconomic Determinants of Domestic Private Investment in Africa: An Empirical Analysis,” Economic Development and Cultural Change, 42(3), pp. 573-592.
Pesaran, M. and Pesaran, B. (1997) “Working with Microfit 4.1.” Oxford: Oxford University Press.
Rao, B. B. (2006) “Time Series Econometrics and Applied Economics: a Methodological Perspective,” forthcoming in Indian Journal of Economics and Business.
Solow, R. (1956) “A Contribution to the Theory of Economic Growth,” Quarterly Journal of Economics, 70, pp. 65-94.
The Asian Development Bank, (2005) “Key Indicators of Developing Asia and Pacific Countries,” Economic and Financial Update - 2005, Manilla: The Asian Development Bank.
Wu, J.L. (1998) “Are budget deficits ‘Too Large?’ The Evidence from Taiwan,” Journal of Asian Economics, 9, pp. 519–528.