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21
8Appendix
AData and Summary Statistics
Table A.1: Data sources.
Variable |
Source |
De…nition |
Remark |
|
|
|
|
Investment |
HA |
Gross Fixed Capital Formation |
CP, SA |
GDP |
HA |
Gross Domestic Product |
CP, SA |
Cost of capital |
HA |
Ratio investment / GDP de‡ator |
CP, SA |
Equity |
HA / GFD* |
Composite Index |
De‡ated |
Credit |
IMF code SAP |
Claims on Private Sector |
De‡ated |
Lending rate |
IMF code IP** |
Lending rate |
De‡ated |
|
|
|
|
Notes: * for Argentina, Chile, Colombia, Croatia, Czech Republic, Hong Kong, Israel, Korea, Peru, Philippines, Russia, Singapore, South Africa; ** interbank rate for Romania and Turkey.
In the source section, HA stands for Haver Analytics, GFD for Global Financial Database, IMF for International Monetary Fund IFS statistics, CP means constant price, SA means seasonally adjusted, and De‡ated means de‡ated using the GDP de‡ator.
Table A.2: Annual average change in log series. |
|
||||
Variable |
Obs |
Mean |
Std. Dev. |
Min |
Max |
|
|
|
|
|
|
|
|
|
|
|
|
Investment |
1469 |
0.0552 |
0.1268 |
-0.8383 |
0.4051 |
GDP |
1469 |
0.0450 |
0.0374 |
-0.1652 |
0.1594 |
Cost of capital |
1469 |
-0.0081 |
0.0418 |
-0.2123 |
0.2377 |
Equity |
1469 |
0.0714 |
0.3411 |
-2.5877 |
1.4276 |
Credit |
1469 |
0.0922 |
0.1355 |
-0.4754 |
0.6037 |
Lending rate |
1469 |
-0.1284 |
2.9841 |
-101.8218 |
1.6363 |
|
|
|
|
|
|
22
Table A.3: Sample period and number of observations per country.
Country |
Obs |
Sample period |
|
|
|
Argentina |
55 |
1995:1-2008:3 |
Brazil |
43 |
1998:1-2008:3 |
Bulgaria |
28 |
2001:4-2008:3 |
Chile |
67 |
1992:1-2008:3 |
China |
43 |
1997:2-2007:4 |
Colombia |
51 |
1996:1-2008:3 |
Croatia |
27 |
2002:1-2008:3 |
Czech Republic |
43 |
1998:1-2008:2 |
Estonia |
44 |
1997:2-2008:1 |
Hong Kong |
68 |
1991:4-2008:3 |
Hungary |
47 |
1997:1-2008:3 |
India |
42 |
1998:2-2008:3 |
Indonesia |
30 |
2001:2-2008:3 |
Israel |
47 |
1997:1-2008:3 |
Korea |
74 |
1990:2-2008:3 |
Latvia |
31 |
2001:1-2008:3 |
Lithuania |
31 |
2001:1-2008:3 |
Malaysia |
46 |
1997:2-2008:3 |
Mexico |
57 |
1994:3-2008:3 |
Peru |
71 |
1991:1-2008:3 |
Philippines |
71 |
1990:2-2007:4 |
Poland |
36 |
1998:1-2006:4 |
Romania |
27 |
2002:1-2008:3 |
Russia |
47 |
1997:1-2008:3 |
Singapore |
71 |
1990:2-2007:4 |
Slovakia |
42 |
1998:2-2008:3 |
Slovenia |
36 |
1998:1-2006:4 |
South Africa |
74 |
1990:2-2008:3 |
Taiwan |
27 |
2002:1-2008:3 |
Thailand |
55 |
1995:1-2008:3 |
Turkey |
38 |
1999:1-2008:3 |
|
|
|
23
Table A.4: Annual average change in log series.
Investment GDP Cost of capital Equity Credit Lending rate
All |
0.0552 |
0.0450 |
-0.0081 |
0.0714 |
0.0922 |
-0.1284 |
Asia |
0.0383 |
0.0466 |
-0.0011 |
0.0254 |
0.0615 |
-0.0027 |
Latin America |
0.0547 |
0.0384 |
-0.0077 |
0.1039 |
0.0598 |
-0.5192 |
Emerging Europe |
0.0817 |
0.0524 |
-0.0161 |
0.1039 |
0.1620 |
-0.0173 |
Other |
0.0390 |
0.0337 |
-0.0098 |
0.0643 |
0.0712 |
-0.0059 |
Argentina |
0.0404 |
0.0303 |
0.0028 |
0.0643 |
0.0001 |
-0.0068 |
Brazil |
0.0302 |
0.0300 |
0.0068 |
0.0940 |
0.0382 |
-0.0285 |
Bulgaria |
0.1573 |
0.0586 |
-0.0097 |
0.3059 |
0.2963 |
-0.0068 |
Chile |
0.0866 |
0.0546 |
-0.0265 |
0.0777 |
0.0956 |
0.0005 |
China |
0.0387 |
0.0188 |
0.0000 |
0.0235 |
0.0420 |
-0.0033 |
Colombia |
0.0326 |
0.0319 |
-0.0145 |
0.0923 |
0.0477 |
-0.0116 |
Croatia |
0.1013 |
0.0446 |
-0.0062 |
0.1627 |
0.1308 |
-0.0035 |
Czech Republic |
0.0316 |
0.0352 |
-0.0167 |
0.0678 |
0.0032 |
-0.0010 |
Estonia |
0.1126 |
0.0695 |
-0.0288 |
0.1006 |
0.2127 |
0.0038 |
Hong Kong |
0.0347 |
0.0403 |
-0.0092 |
0.0932 |
0.0405 |
0.0005 |
Hungary |
0.0510 |
0.0384 |
-0.0173 |
0.0843 |
0.1381 |
-0.0048 |
India |
0.1044 |
0.0689 |
0.0036 |
0.0865 |
0.1363 |
-0.0002 |
Indonesia |
0.0690 |
0.0509 |
0.0184 |
0.1170 |
0.0862 |
-0.0132 |
Israel |
0.0129 |
0.0372 |
0.0033 |
0.1113 |
0.0688 |
-0.0043 |
Korea |
0.0456 |
0.0547 |
0.0019 |
-0.0069 |
0.0992 |
0.0000 |
Latvia |
0.1156 |
0.0753 |
-0.0082 |
0.0823 |
0.2845 |
-0.0154 |
Lithuania |
0.1234 |
0.0738 |
-0.0072 |
0.1538 |
0.2660 |
-0.0178 |
Malaysia |
-0.0016 |
0.0447 |
-0.0173 |
-0.0393 |
0.0158 |
-0.0111 |
Mexico |
0.0434 |
0.0288 |
-0.0057 |
0.0592 |
-0.0058 |
-0.0062 |
Peru |
0.0753 |
0.0470 |
-0.0038 |
0.2094 |
0.1468 |
-2.4804 |
Philippines |
0.0256 |
0.0371 |
-0.0106 |
-0.0057 |
0.0547 |
-0.0024 |
Poland |
0.0374 |
0.0385 |
-0.0417 |
0.0701 |
0.0912 |
-0.0090 |
Romania |
0.1454 |
0.0621 |
-0.0105 |
0.1910 |
0.3046 |
-0.0194 |
Russia |
0.0816 |
0.0535 |
-0.0204 |
0.0137 |
0.1849 |
-0.0985 |
Singapore |
0.0616 |
0.0652 |
-0.0140 |
0.0478 |
0.0718 |
-0.0012 |
Slovakia |
0.0323 |
0.0499 |
-0.0084 |
0.0498 |
0.0231 |
-0.0095 |
Slovenia |
0.0591 |
0.0410 |
-0.0077 |
0.1002 |
0.1409 |
-0.0077 |
South Africa |
0.0463 |
0.0268 |
-0.0138 |
0.0384 |
0.0502 |
0.0003 |
Taiwan |
0.0291 |
0.0450 |
0.0284 |
0.0828 |
0.0558 |
-0.0007 |
Thailand |
-0.0099 |
0.0361 |
0.0174 |
-0.0727 |
0.0177 |
-0.0026 |
Turkey |
0.0572 |
0.0429 |
-0.0183 |
0.0563 |
0.1153 |
-0.0197 |
|
|
|
|
|
|
|
24
Table A.5: Correlation coe¢ cients.
|
Investment |
GDP |
Cost of capital |
Equity |
Credit |
Lending rate |
|
|
|
|
|
|
|
Investment |
1.0000 |
|
|
|
|
|
GDP |
0.7597 |
1.0000 |
|
|
|
|
Cost of capital |
-0.2825 |
-0.2287 |
1.0000 |
|
|
|
Equity |
0.2587 |
0.2624 |
-0.0075 |
1.0000 |
|
|
Credit |
0.4359 |
0.4424 |
-0.1815 |
0.0892 |
1.0000 |
|
Lending rate |
-0.2429 |
-0.2174 |
0.0752 |
0.0410 |
0.1772 |
1.0000 |
Note: All series are in log di¤erences.
Table A.6: Panel Unit Root Test Results.
|
Investment |
GDP |
Cost of capital |
Equity |
Credit |
Lending rate |
|
|
|
|
|
|
|
Levin, Lin Chu t-stat |
-4.9499 |
-4.9035 |
-6.8433 |
-4.9035 |
-2.4534 |
-114.736 |
p-value |
0.0000 |
0.0000 |
0.0000 |
0.0000 |
0.0071 |
0.0000 |
Im, Pesaran and Shin W-stat |
-8.1168 |
-8.512 |
-11.8380 |
-8.5123 |
-6.2376 |
-43.6758 |
p-value |
0.0000 |
0.0000 |
0.0000 |
0.0000 |
0.0000 |
0.0000 |
Note: All series are in log di¤erences.
25
26
Table A.7: Ratio of investment to GDP.
Date |
1990 |
1991 |
1992 |
1993 |
1994 |
1995 |
1996 |
1997 |
1998 |
1999 |
2000 |
2001 |
2002 |
2003 |
2004 |
2005 |
2006 |
2007 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Argentina |
|
|
|
19.0 |
19.9 |
17.9 |
18.1 |
19.4 |
19.9 |
18.0 |
16.2 |
14.1 |
11.9 |
15.1 |
19.2 |
21.4 |
23.3 |
24.2 |
Brazil |
|
|
|
|
20.9 |
18.4 |
16.9 |
17.4 |
17.0 |
15.7 |
16.8 |
17.0 |
16.4 |
15.3 |
16.1 |
15.9 |
16.7 |
17.8 |
Bulgaria |
|
|
|
|
14.3 |
15.3 |
13.0 |
11.3 |
13.0 |
15.0 |
15.7 |
18.2 |
18.2 |
19.3 |
20.5 |
24.1 |
25.9 |
29.8 |
Chile |
23.8 |
20.7 |
23.2 |
25.9 |
24.4 |
25.2 |
26.4 |
26.9 |
25.8 |
20.5 |
20.2 |
21.1 |
20.5 |
20.2 |
19.3 |
21.2 |
19.5 |
20.6 |
China |
21.4 |
23.0 |
26.4 |
30.9 |
29.6 |
28.3 |
27.8 |
27.3 |
28.3 |
28.7 |
29.4 |
29.7 |
31.1 |
33.6 |
34.8 |
35.1 |
34.9 |
34.3 |
Colombia |
|
|
|
|
27.8 |
28.3 |
24.4 |
22.8 |
21.6 |
14.1 |
15.7 |
16.7 |
17.1 |
18.9 |
20.0 |
21.6 |
24.3 |
24.9 |
Croatia |
|
|
|
|
|
|
|
24.2 |
23.3 |
23.3 |
21.8 |
22.3 |
24.3 |
28.5 |
28.2 |
28.1 |
29.8 |
30.0 |
Czech Republic |
|
|
|
|
|
31.5 |
32.1 |
30.0 |
28.2 |
27.0 |
28.0 |
28.0 |
27.5 |
26.7 |
25.8 |
24.9 |
24.6 |
24.1 |
Estonia |
|
|
|
|
|
27.0 |
26.5 |
28.2 |
30.5 |
24.7 |
26.0 |
26.6 |
29.7 |
31.7 |
31.0 |
30.7 |
33.8 |
32.5 |
Hong Kong |
26.1 |
26.2 |
27.0 |
26.9 |
29.2 |
30.0 |
30.8 |
33.1 |
30.0 |
25.7 |
26.4 |
25.6 |
22.4 |
21.2 |
21.3 |
20.9 |
21.8 |
20.3 |
Hungary |
|
|
|
|
|
20.0 |
21.4 |
22.4 |
23.8 |
24.4 |
23.8 |
23.6 |
23.3 |
22.2 |
22.5 |
22.9 |
21.2 |
21.1 |
India |
|
|
|
|
|
|
|
25.4 |
24.6 |
25.4 |
25.1 |
25.3 |
25.8 |
26.4 |
30.0 |
33.1 |
35.0 |
37.1 |
Indonesia |
|
|
|
|
|
|
|
|
|
|
19.8 |
19.7 |
19.4 |
19.5 |
22.4 |
23.6 |
24.1 |
24.8 |
Israel |
|
|
|
|
|
23.7 |
23.7 |
22.6 |
20.6 |
20.2 |
18.7 |
17.8 |
17.3 |
16.6 |
16.5 |
16.4 |
17.1 |
18.7 |
Korea |
37.0 |
38.9 |
36.9 |
36.3 |
36.4 |
37.3 |
37.5 |
35.6 |
30.3 |
29.7 |
31.1 |
29.5 |
29.1 |
29.9 |
29.5 |
29.3 |
29.0 |
28.8 |
Latvia |
|
|
11.9 |
13.6 |
14.7 |
13.5 |
16.4 |
16.9 |
24.7 |
23.0 |
24.2 |
24.8 |
23.8 |
24.4 |
27.5 |
30.6 |
32.6 |
32.3 |
Lithuania |
|
|
|
24.6 |
20.6 |
21.0 |
21.1 |
22.6 |
24.0 |
22.0 |
18.8 |
20.2 |
20.3 |
21.1 |
22.3 |
22.7 |
25.2 |
28.0 |
Malaysia |
|
|
|
|
|
|
42.5 |
43.2 |
26.8 |
21.9 |
25.3 |
25.1 |
23.5 |
22.4 |
21.0 |
20.5 |
20.8 |
21.7 |
Mexico |
|
|
|
18.6 |
19.3 |
16.2 |
17.8 |
19.4 |
20.9 |
21.2 |
21.4 |
20.0 |
19.3 |
18.9 |
19.6 |
19.3 |
20.4 |
20.8 |
Peru |
19.9 |
17.1 |
17.3 |
19.4 |
22.2 |
24.8 |
22.8 |
24.1 |
23.6 |
21.1 |
20.1 |
18.8 |
18.4 |
18.4 |
18.1 |
17.8 |
20.0 |
22.9 |
Philippines |
23.1 |
20.1 |
20.9 |
23.7 |
23.6 |
22.2 |
23.4 |
24.4 |
21.2 |
19.1 |
21.2 |
17.9 |
17.6 |
16.8 |
16.1 |
14.4 |
14.0 |
14.8 |
Poland |
|
|
|
|
|
|
29.1 |
28.7 |
28.0 |
26.8 |
24.9 |
20.6 |
18.4 |
18.2 |
19.1 |
18.2 |
19.5 |
22.0 |
Romania |
|
|
|
|
|
|
|
21.0 |
18.3 |
18.1 |
18.9 |
20.7 |
21.3 |
21.4 |
21.9 |
23.0 |
25.6 |
30.4 |
Russia |
|
|
|
21.7 |
22.2 |
20.8 |
20.0 |
18.3 |
16.3 |
14.4 |
16.8 |
18.9 |
17.9 |
18.4 |
18.4 |
17.7 |
18.4 |
21.0 |
Slovakia |
|
|
|
29.9 |
26.6 |
26.0 |
32.6 |
34.9 |
36.3 |
30.0 |
25.7 |
28.5 |
27.3 |
24.8 |
23.9 |
26.5 |
26.4 |
26.1 |
Slovenia |
|
|
|
|
|
20.9 |
21.8 |
23.1 |
24.2 |
26.5 |
26.5 |
25.0 |
23.4 |
24.4 |
25.5 |
25.7 |
26.7 |
28.1 |
South Africa |
19.2 |
17.2 |
15.7 |
14.7 |
15.1 |
15.9 |
16.3 |
16.5 |
17.1 |
15.5 |
15.1 |
15.1 |
15.0 |
15.9 |
16.2 |
17.1 |
18.9 |
21.1 |
Taiwan |
22.3 |
22.1 |
23.9 |
25.0 |
24.4 |
24.8 |
22.4 |
22.7 |
23.7 |
23.1 |
23.9 |
19.4 |
18.6 |
18.6 |
21.9 |
21.3 |
21.3 |
21.2 |
Thailand |
|
|
|
39.5 |
39.7 |
41.0 |
41.1 |
33.9 |
22.4 |
20.9 |
22.0 |
23.0 |
22.9 |
24.1 |
26.0 |
29.0 |
28.2 |
26.4 |
Turkey |
|
|
|
|
|
|
|
|
23.0 |
19.0 |
20.4 |
16.1 |
16.7 |
17.0 |
20.3 |
21.0 |
22.3 |
21.6 |
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Most Recent Working Paper |
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NIPE WP |
Peltonen, Tuomas A., Ricardo M. Sousa e Isabel S.Vansteenkiste “Fundamentals, Financial |
19/2009 |
Factors and The Dynamics of Investment in Emerging Markets”, 2009 |
NIPE WP |
Peltonen, Tuomas A., Ricardo M. Sousa e Isabel S.Vansteenkiste “Asset prices, Credit and |
18/2009 |
Investment in Emerging Markets”, 2009 |
NIPE WP |
Aguiar-Conraria, Luís e Pedro C. Magalhães, “How quorum rules distort referendum |
17/2009 |
outcomes: evidence from a pivotal voter model”, 200 9 |
NIPE WP |
Alexandre, Fernando, Pedro Bação, João Cerejeira e Miguel Portela, “Employment and |
16/2009 |
exchange rates: the role of openness and”, 2009. |
NIPE WP |
Girante, Maria Joana, Barry K. Goodwin e Allen Featherstone, “ Wealth, Debt, |
15/2009 |
Government Payments, and Yield”, 2009 |
NIPE WP |
Girante, Maria Joana e Barry K. Goodwin, “ The Acreage and Borrowing Effects of Direct |
14/2009 |
Payments Under Uncertainty: A Simulation Approach”, 2009 |
NIPE WP |
Alexandre, Fernando, Pedro Bação, João Cerejeira e Miguel Portela, “Aggregate and |
13/2009 |
sector-specific exchange rate indexes for the Portuguese economy”, 2009. |
NIPE WP |
Sousa, Ricardo M.“Wealth Effetcs on Consumption: Evidence from the e uro area ”, 2009 |
12/2009 |
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NIPE WP |
Agnello, Luca e Ricardo M. Sousa, “The Determinants of Public Deficit Volatility”, 20 09 |
11/2009 |
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NIPE WP |
Afonso, Óscar e Maria Thompson, “Costly Investment, Complementarities and the Skill |
10/2009 |
Premium”, 2009 |
NIPE WP |
Gabriel,Vasco J. e Pataaree Sangduan, “Assessing Fiscal Sustainability Subject to Policy |
9/2009 |
Changes: A Markov Switching Cointegration Approach” , 2009 |
NIPE WP |
Aguiar-Conraria, Luís e Maria Joana Soares, “Business Cycle Synchronization Across the |
8/2009 |
Euro-Area: a Wavelet Analysis”, 2009 |
NIPE WP |
Afonso, António, Luca Agnello, Davide Furceri e Ric ardo M. Sousa “Assessing Long-Term |
7/2009 |
Fiscal Developments: a New Approach”, 2009 |
NIPE WP |
Furceri, Davide e Ricardo M. Sousa, “The Impact of Government Spending on the Private |
6/2009 |
Sector: Crowding-out versus Crowding-in Effects”, 2 009 |
NIPE WP |
Esteves, Rosa Branca, “A Survey on the Economics of Behaviour-Based Pric e |
5/2009 |
Discrimination”, 2009 |
NIPE WP |
Peltonen, Tuomas A., Ricardo M. Sousa e Isabel S. Vansteenkiste, “Wealth Effects in |
4/2009 |
Emerging Market Economies”, 2009 |
NIPE WP |
Afonso, António e Ricardo M. Sousa, “The Macroeconomic Effects of Fiscal Policy in |
3/2009 |
Portugal: a Bayesian SVAR Analysis”, 2009 |
NIPE WP |
Bastos, Paulo e Natália P. Monteir, “Managers and wage policies”, 2009 |
2/2009 |
|
NIPE WP |
Afonso, António e Ricardo M. Sousa , " Assessing Long-Term Fiscal Developments: Evidence |
1/2009 |
from Portugal ", 2009 |
NIPE WP |
Afonso, António e Ricardo M. Sousa , "The Macroeconomic Effects of Fiscal Policy", 2008 |
22/2008 |
|
NIPE WP |
Afonso, António e Ricardo M. Sousa , "Fiscal Policy, Housing and Stock Prices", 2008 |
21/2008 |
|
NIPE WP |
Magalhães, Pedro C., Luís Aguiar -Conraria, "Growth, Centrism and Semi-Presidentialism: |
20/2008 |
Forecasting the Portuguese General Elections", 2008 |
NIPE WP |
Castro, Vítor, “Are Central Banks following a linear or nonlinear (augmented) Taylor rule?”, |
19/2008 |
2008 |
NIPE WP |
Castro, Vítor, “The duration of economic expansions and recessions : More than duration |
18/2008 |
dependence”, 2008 |
NIPE WP |
Holmås, Tor Helg e, Egil Kjerstad, Hilde Lurås and Odd Rune Straume, “Does monetary |
17/2008 |
punishment crowd out pro-social motivation? The case of hospital bed-blocking”, 2008. |
NIPE WP |
Alexandre, Fernando, Miguel Portela and Carla Sá “Admission conditions and graduates’ |
16/2008 |
employability”, 2008. |