Lecture Notes in Economics and Mathematical Systems

Transcription

1 Lecture Notes in Economics and Mathematical Systems 420 Founding Editors: M. Beckmann H. P. Kiinzi Editorial Board: H. Albach, M. Beckmann, G. Feichtinger, W. Hildenbrand, W. Krelle H. P. Kiinzi, K. Ritter, U. Schittko, P. Schonfeld, R. Selten Managing Editors: Prof. Dr. G. Fandel Fachbereich Wirtschaftswissenschaften Fernuniversitat Hagen Feithstr. 140lAVZ II, D Hagen, FRG Prof. Dr. W. Trockel Institut fur Mathematische Wirtschaftsforschung (IMW) Universitat Bielefeld Universitatsstr. 25, D Bielefeld, FRG

2 Marga Peeters Time-To -Build Interrelated Investment and Labour Demand Modelling With Applications to Six OECD Countries ~C:(tt:JI):i~ Springer

3 Author Dr. Marga Peeters Anjelienstraat TP Weert The Netherlands ISBN-13: e-isbn-l3: DOl: / Library of Congress Cataloging-in-Publication Data Peeters, Marga, Time-to-build: interrelated investments and labour demand modelling with applications to six OECD countries / Marga Peeters. p. cm. - (Lecture notes in economics and mathematical systems; 420) Includes bibliographical references (p. ) and index. ISBN-l3: Investments-Mathematical models-case studies. 2. Labor demand-mathematical models-case studies. I. Title. II. Series. HG P dc This work is subject to copyright. All rights are reserved, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, re-use of illustrations, recitation, broadcasting, reproduction on microfilms or in any other way, and storage in data banks. Duplication of this publication or parts thereof is permitted only under the provisions of the German Copyright Law of September 9, 1965, in its current version, and permission for use must always be obtained from Springer-Verlag. Violations are liable for prosecution under the German Copyright Law. Springer-Verlag Berlin Heidelberg 1995 Typesetting: Camera ready by author SPIN: / Printed on acid-free paper

4 Acknowledgement The research results presented in this monograph were obtained when I was a Ph.D. student, working at the University of Limburg (The Netherlands) and at the Centre de Recherche en Economie et Statistique in Paris (CREST, France). I gratefully acknowledge both institutions, the Netherlands Organisation for the Advancement of Pure Research (NWO, The Netherlands), Shell NL and the 'Stichting Organisatie van Effectenhandelaren te Rotterdam' for financial support. Many people contributed to the realisation of this monograph. In particular, lowe a lot to Franz Palm. His constructive criticism has always stimulated me and improved my work considerably.

5 CONTENTS 0 OVERVIEW page Main research aims Outline 5 1 PHYSICAL CAPITAL STOCK INVESTMENTS AND LABOUR DEMAND Theoretical background on dynamic modelling Entrepreneurial behaviour Entrepreneurial behaviour under neoclassical assumptions Modell: Static labour demand Model 2: Dynamic labour demand Model 3: Dynamic physical capital stock and investments demand Model 4: Interrelation in physical capital stock and labour demand Dynamics and the literature Dynamics in the neoclassical framework q theory of investments Gestation lags Short summary and extensions LA APPENDIX Dynamics and interrelation in structures, equipment and labour in six OECD countries 29 2 INVESTMENT GESTATION LAGS Construction lags, delivery lags and capital stock accumulation Construction lags The construction process The length of the construction period Cancellations Time-to-build specification The difference between construction and delivery lags Statistical evidence on lead times The calculation of physical capital stock series Summary and conclusions

6 VIII 3 A CWSED FORM SOLUTION FOR A MODEL WITH TIME-TO-BUll..D AND AWUSTMENT COSTS An application to the United States and Dutch manufacturing industry The model A neoclassical factor demand model with time-to-build Economic interpretation of adjustment costs and time-to-build Three univariate models for structures Modell: Time-to-build and no adjustment costs Model 2: Time-to-build and adjustment costs of net capital stock Model 3: Time-to-build and adjustment costs of gross investments The closed form solution of the trivariate model Summary of the theoretical part and estimation aims The estimation results The process of prices Maximum likelihood estimates Univariate - United States Trivariate - The Netherlands and the United States Impulse responses Comparison of the time-to-build and adjustment costs model Summary of the empirical part Summary and conclusions APPENDICES 3.A Solving the Euler equations of the multivariate model for the rational expectations 3.B Stationarity tests 3.B.l Unit roots 3.B.2 Cointegration 3.B.3 Conclusions PERSISTENCE, ASYMMETRIES AND INTERRELATION IN MANUFACTURING STRUCTURES, EQUIPMENT AND LABOUR DEMAND An application to six OECD countries Descriptive statistics A neoclassical factor demand model Model specification First order conditions Empirical analyses Assumptions and estimation strategy Estimation results Summary and conclusions

7 IX APPENDIX 4.A Factor prices exogeneity, monopolistic competition or price influencing A.1 An example A.2 Weak exogeneity and Granger causality tests A.3 Conclusions INTERRELATIONS IN PHYSICAL CAPITAL STOCK, LABOUR AND INVENTORY INVESTMENTS An application to French industrial sectors Volatility and multi-cointegration Two structural models with inventories A production smoothing model A factor demand model with inventories Similarities and differences between the production smoothing and factor demand model Empirical results GMM estimation results Prices and sales elasticities Conclusions SUMMARY, CONCLUSIONS AND SHORTCOMINGS 6.1 Summary 6.2 Conclusions from empirical results 6.3 Shortcomings 6.4 Overall conclusions and some policy implications DATA APPENDIX Quarterly aggregate data Data sources Aggregate manufacturing industry data of six OECD countries Variables used as production factors and prices in chapter 3 and 4 Data description Variables used as instruments in chapter 4 Aggregate sectorial data of France (1970.l V) Variables used Data description Calculation of physical capital stock series BIBLIOGRAPHY AUTHOR INDEX LIST OF SYMBOLS