Tobin’s Q theory and regional housing investment: Empirical analysis on Swedish data
Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesis
This thesis investigates the relationship between Tobin’s Q and regional housing investment in Sweden for the time period of 1998-2012. The relationship is tested through estimation of two models for time-series analysis, a vector error correction model (VECM) and an autoregressive distributed lag (ARDL) model. Depending on which model that is used, I find some evidence of positive correlation between Tobin’s Q and regional housing investment in the long run while the short run dynamics of investment does not seem to be explained by Tobin’s Q. By transforming the regional data into a panel data set and running a fixed effects model, I examine the gain in explanatory power of Tobin’s Q from using disaggregated data rather than aggregated. My findings suggest that using disaggregated data improves the explanatory power of Tobin’s Q on investment. However, the Granger Causality test indicates two-way causality between Tobin’s Q and investment, causing endogeneity problem in the estimated equations.
Place, publisher, year, edition, pages
2014. , 51 p.
Tobin’s Q, Housing investment, Regional data, VECM, ARDL, Fixed Effects model, Granger Causality
IdentifiersURN: urn:nbn:se:uu:diva-226661OAI: oai:DiVA.org:uu-226661DiVA: diva2:726815
Master Programme in Economics
Assarsson, Bengt, Universitetslektor
Waldenström, Daniel, Professor