Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/90748
Authors: 
Biørn, Erik
Year of Publication: 
2012
Series/Report no.: 
Memorandum, Department of Economics, University of Oslo 11/2012
Abstract: 
In the paper steps are taken towards integration of two parts of Trygve Haavelmo's work: investment theory and econometrics of interrelated markets. Attempts are made to bring the duality in the representation of the capital service price and the capital quantity in relation to the investment price and quantity into the foreground, by confronting it with elements from simultaneous equation modeling of vector autoregressive systems with exogenous variables (VARX), using linear four-equation models. The role of the interest rate and the modeling of the expectation element in the capital service price and the capital's retirement pattern, and their joint effect on the model's investment quantity and price dynamics are discussed. Simulation experiments illustrate some of the theoretical points. An extension relaxing geometric decay is outlined.
Subjects: 
Investment theory
Econometrics of investment
Stock-flow interaction
Dynamic stability
Capital retirement
Price expectation
Duality
Final form
ARMAX
JEL: 
C32
C62
E22
E27
Document Type: 
Working Paper

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