| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP6519
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| DP6519 Economic Integration and the Co-movement of Stock Returns |
| José Tavares
|
| 发表日期 | 2007-10-12
|
| 出版年 | 2007
|
| 语种 | 英语
|
| 摘要 | Changes in firms? investment expenditures are considered one of the primary channels through which energy price shocks are transmitted to the economy. It is widely believed that the response of business fixed investment to energy price increases differs from its response to energy price decreases. We show that the apparent asymmetry in the estimated responses of business fixed investment in equipment and structures cannot be reconciled with standard theoretical explanations of asymmetric responses. Rather this evidence is an artifact (1) of the aggregation of mining-related expenditures by the oil, natural gas, and coal mining industry and all other expenditures, and (2) of ignoring an exogenous shift in investment caused by the 1986 Tax Reform Act. After controlling for these factors, formal statistical tests are unable to reject the assumption of symmetric responses to energy price shocks for all components of investment in structures. For nonresidential equipment there is weak statistical evidence of classical asymmetries in some components, but not in the aggregate. Once symmetry is imposed and mining-related expenditures are excluded, the estimated response of business fixed investment in equipment and structures tends to be small and mostly statistically insignificant. Historical decompositions show that energy price shocks have played a minor role in driving fluctuations in nonresidential fixed investment other than investment in mining. Our conclusions are largely robust to defining energy price shocks in terms of percent changes, large percent changes or net percent changes of energy prices; they are also robust to using alternative measures of energy prices and to weighting energy prices by the energy share in value added. |
| 主题 | International Macroeconomics
|
| 关键词 | 1986 tax reform act
Asymmetric responses
Equipment
Nonresidential fixed investment
Oil price shocks
Structures
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| URL | https://cepr.org/publications/dp6519
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| 来源智库 | Centre for Economic Policy Research (United Kingdom)
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| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/535358
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推荐引用方式
GB/T 7714 |
José Tavares. DP6519 Economic Integration and the Co-movement of Stock Returns. 2007.
|
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